Business and default cycles for credit risk

By S. J. Koopman, André Lucas. 2003

197 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/0e6634859dba7c1aa3ffae676056497b461f8681

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

Citations in the corpus

Correlation in Corporate Defaults: Contagion or Conditional Independence? (2010, unknown): “Figlewski, S., H. Frydman, and W. Liang (2006). Modeling the effect of macroeconomic factors on corporate default and credit rating transitions.”
Credit Cycles and Macro Fundamentals (2009, unknown): “In this paper, we use the methodology of Koopman et al. (2005) to estimate the credit cycle directly from rating and default data at the micro level using intensity models with unobserved common risk factors.”
Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics (2009, unknown): “An exception is a recent work by Koopman and Lucas (2005), which uses a multivariate unobserved components approach to evaluate the dynamic behaviour of business failures, credit spreads and GDP in the United States, using considerably long time series (1933-1997).”
Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates (2011, background): “For instance, Koopman and Lucas (2005) show that at typical business-cycle frequencies, around four to eight years, there is no cyclical co-movement between GDP and default rates, although some correlation is evident at longer horizons, of eleven to sixteen years.”
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions (2008, unknown): “Koopman and Lucas (2005) and Koopman, Lucas and Klaassen (2005) have adopted a direct time series approach and identified the time-varying cyclical nature of default rates over a long historical period.”