COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as...

We investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as covariates overestimate credit risk incidence due to the unprecedented drops in...

We investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as covariates overestimate credit risk incidence due to the unprecedented drops in...

Künstliche neuronale Netze sind ein in der Theorie oft beschriebenes und in der Praxis der Wirtschaftswissenschaften, Informatik sowie Natur- und Ingenieurwissenschaften häufig eingesetztes Instrument zur Durchführung von Datenanalysen. Darstellungen neuronaler Netze entstammen jedoch...