311-323.<P> Various economic theories are available to explain the existence of credit and default cycles. There remains …-movements arise between default rates, but not real GDP. There is, however, a contemporaneous correlation between real GDP and default … rates. Regarding the longer term evolution of the series, credit spreads influence default rates and real GDP, but not vice …

We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We … disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry …-specific dynamics (including contagion). To quantify the contribution of each of these factors to default rate volatility we introduce a …

, issue 4, pages 510-525.<p> We model 1981–2002 annual US default frequencies for a panel of firms in different rating and age … the general economic conditions and default climate. We have to cope with (i) the shared exposure of each age cohort and …) possible dynamics of an unobserved common risk factor; (iv) changing default probabilities over the age of the rating, and (v …

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default … probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by … observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default …

evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term … movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk … the dynamic and cyclical behaviour of default probabilities. Second, estimating default correlations over long horizons …

. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980—2005 we directly … which macro-economic fundamentals explain default and rating dynamics. …

This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries … area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default … other factors are of high importance as well. For all firms, deviations of systematic default risk from macro fundamentals …