A Survey of Cyclical Effects in Credit Risk Measurement Models
By Linda Allen, Anthony Saunders. 2002
213 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/4f9b0ef9807658037816f335e7384082e3b555e7
How researchers see this paper
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In Economics and Econometrics
- J. Amato
- Laurence Freed
- Craig Furfine
- Sanjiv Ranjan Das
- Olivier Renault
- Arnaud de Servigny
- Nikunj Kapadia
- Gary Geng
In Finance
- Arnaud de Servigny
- J. Amato
- Laurence Freed
- Craig Furfine
- Sanjiv Ranjan Das
- Olivier Renault
- Nikunj Kapadia
- Gary Geng
Citations in the corpus
- Whither monetary and financial stability? the implications of evolving policy regimes (2004, unknown): “Allen and Saunders (2003) review credit risk modelling from the perspective of procyclicality.”
- Measuring and Managing Credit Risk (2004, background): “Allen and Saunders (2002) survey cyclical effects on the various components of credit risk.”
- Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003, unknown): “47 For a more detailed treatment, see, in particular, Lowe (2002), Borio et al (2001), Allen and Saunders (2003) and references therein.”
- Correlated Default Risk (2006, methodology): “4Allen and Saunders [2002]. Altman, Brady, Resti and Sironi [2002] find that the state of the economy also drives the level of recovery on default. 5Other structural models include Longstaff and Schwartz [1995], Leland and Toft [1996], and Collin-Dufresne and Goldstein [2001]. Duffie, Saita and Wang”
- Multi-Period Corporate Default Prediction With Stochastic Covariates (2007, unknown): “(See Allen and Saunders (2002) for a survey.)”
- Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics (2009, unknown): “Allen and Saunders (2003)”
- Business and default cycles for credit risk (2003, unknown): “The general conclusion of these models is that defaults probabilities tend to be higher in recession states, see also Allen and Saunders (2003). Empirical evidence linking credit spreads to the business cycle can be found in for example Fama”
- Are Credit Ratings Procyclical (2004, background): “8 For a review of how systematic factors are incorporated into credit risk models, see Allen and Saunders (2002).”