Figlewski, Stephen; Frydman, Halina; Liang, Weijian - In: International Review of Economics & Finance 21 (2012) 1, pp. 87-105
We explore how general economic conditions impact defaults and major credit rating changes by fitting reduced-form Cox intensity models with a broad range of macroeconomic and firm-specific ratings-related variables. For all corporate issuers in the period 1981–2002 we find both types of...