Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions

By Stephen Figlewski, Halina Frydman, Weijian Liang. 2012

230 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/43189e07b426357898510fd0e0f9bd9e044c367d

How researchers see this paper

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

In Accounting

1. Peter J. Bickel
2. Lyn C. Thomas

In Finance

1. M. Malik
2. Peter J. Bickel
3. Song Song
4. Lyn C. Thomas
5. Victor Troster

Citations in the corpus

• Transition Matrix Models of Consumer Credit Ratings (2012, background): “This choice is motivated by the recent study made by (Figlewski et al, 2007).”
• Correlation in Corporate Defaults: Contagion or Conditional Independence? (2010, unknown): “Note that α2 may be taken as a measure of the horizon of influence of a default on the overall default proneness of remaining firms (Hawkes (1971b)).”
• Large Vector Auto Regressions (2011, background): “Figlewski et al. (2006) find credit events are significantly affected by macroeconomic factors.”