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...

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

Expectiles (EVaR) are a one-parameter family of coherent risk measures that have been recently suggested as an alternative to quantiles (VaR) and to Expected Shortfall (ES). In this work we review their known properties, we discuss their financial meaning, we compare them with VaR and ES and we...