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

We model 1981-2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is … conditions and default climate. We have to cope with (i) the shared exposure of each age cohort and rating class to the same … unobserved common risk factor; (iv) changing default probabilities over the age of the rating, and (v) missing observations. We …

consider the problem of obtaining estimates of the historical corporate default and rating migration probabilities using a …

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 …

given default over the period 1982 - 2010 and find significant evidence of parameter variation in the underlying beta …

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

that default correlations may change over the business cycle. …

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 …