311-323.<P> Various economic theories are available to explain the existence of credit and default cycles. There remains …-up that they do, or at least that defaults and credit spreads tend to co-move with macro-economic variables. If true, this is … important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …

circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …

sample behavior of the resulting estimators. We use these new estimators for dealing with a central issue in credit risk. We … dataset on credit ratings from Standard & Poor's. …

We investigate the effect of model specification on the aggregation of (correlated) market and credit risk. We focus on … the functional form linking systematic credit risk drivers to default probabilities. Examples include the normal based … credit risk. The specification effect can lead to Value-at-Risk (VaR) reductions in the range of 3 percent to 47 percent …

movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk … analysis. First, a static analysis of portfolio credit risk can underestimate credit risk significantly by not accounting for … actual credit risk experiment, addressing the issue of pro-cyclicality in ratings and capital buffer formation. It turns out …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …