default rate and loss given default of bank loans share a cyclical component, related to the business cycle. We infer this … cycle by a new model that distinguishes loans with large and small losses, and links them to the default rate and macro …

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 …

the functional form linking systematic credit risk drivers to default probabilities. Examples include the normal based …

, 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 …

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 …

that default correlations may change over the business cycle. …