We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using … the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and … financial market variables. In line with earlier studies, these variables appear to explain part of the credit cycle. As our …

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical … 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 …

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. …

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