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 …

It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis … credit ratings have integrated more in crisis. By applying the Panel Analysis of Non-stationarity in Idiosyncratic and Common … contributes to a credit risk management task and also coincides with the missions of Basel III since the more integrated CDS …