This paper introduces a new model of structural breaks in the coefficients of economic relationships which allows them to be driven by large past economic shocks. The breaks generated by these shocks can be taken to reflect stochastic changes in agents' decisions or beliefs triggered by...

Based on a large micro data set of loan accounts consisting of restructured and non-restructured loans we investigate the ability of loan-specific and macroeconomic covariates to predict the probability of default (PD). We seek to investigate whether differences in the PD between the two...