Simons, Dietske; Rolwes, Ferdinand - In: International Journal of Central Banking 5 (2009) 3, pp. 177-204
This paper applies a macroeconomic-based model for estimating probabilities of default. The first part of the paper focuses on the relation between macroeconomic variables and the default behavior of Dutch firms. A convincing relationship with GDP growth and oil price and, to a lesser extent,...