Castrén, Olli; Dées, Stéphane; Zaher, Fadi - In: Journal of Financial Stability 6 (2010) 2, pp. 64-78
We analyse the behaviour of euro area corporate sector probabilities of default under a wide range of domestic and global macro-financial shocks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for firm-level Expected Default Frequencies (EDFs)...