profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the …

risk. A Bayesian approach to default rate estimation is proposed and illustrated using a prior distributions assessed from … temporal correlation in default rates through autocorrelation in the systemic factor. Implications for the predictability of …. A robustness exercise, weakening the prior on the asset correlation, illustrates that the correlation indicated by the …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …