Corporate Credit Risk Modelling and the Macroeconomy

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Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics (2009, unknown): “In addition, empirical evidence suggests that there may be duration dependence in default risk: firm age (or time at risk) may be an important explanatory variable, as found by Carling et al (2002, 2004) or Saretto (2004)17.”
The financial accelerator in an evolving credit network (2010, background): “13 Using Swedish data over the period 1994–2000, Carling et al. (2007) estimate a model which takes into account both firm-specific characteristics and macroeconomic conditions: they find out that the output gap, the yield curve and consumers’ expectations have significant explanatory power for the…”
Risk in Islamic Banking (2012, background): “However, interest rate lev ls can influence the ability of borrowers to re-pay (Jarrow and Turnbull, 2000; Carling et al., 2007; Drehmann et al., 2010 and Alessandri and Drehmann, 2010) - at higher levels the incentiv to default (moral hazard) increases.”