We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using … rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980-2005 we directly estimate … the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and …

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 …

are correlated with net tightening bank lending standards, implying that bank credit supply and systematic default risk …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 …

movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk … evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term … analysis. First, a static analysis of portfolio credit risk can underestimate credit risk significantly by not accounting for …