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 …

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 …

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 …

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 …

failure of a large number of financial intermediaries. The indicators are based on latent macro-financial and credit risk … components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions … warning signal for macro-prudential policy. - Financial crisis ; systemic risk ; credit portfolio models ; frailty …