Corporate credit risk modeling and the macroeconomy
Document identifier: oai:dalea.du.se:2598
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10.1016/j.jbankfin.2006.06.012Keyword: Social Sciences,
Economics and Business,
Samhällsvetenskap,
Ekonomi och näringsliv,
Firm default; default risk; credit risk; corporate loans; duration model; survival; macroeconomy,
KreditriskmodelleringPublication year: 2007Relevant Sustainable Development Goals (SDGs):
The SDG label(s) above have been assigned by OSDG.aiAbstract: Despite a surge in the research efforts put into modeling credit and default risk during the past decade, few studies have incorporated the impact that macroeconomic conditions have on business defaults. In this paper, we estimate a duration model to explain the survival time to default for borrowers in the business loan portfolio of a major Swedish bank over the period 1994-2000. The model takes both firm-specific characteristics, such as accounting ratios and payment behaviour, loan-related information, and the prevailing macroeconomic conditions into account. The output gap, the yield curve and consumers' expectations of future economic development have significant explanatory power for the default risk of firms. We also compare our model with a frequently used model of firm default risk that conditions only on firm-specific information. The comparison shows that while the latter model can make a reasonably accurate ranking of firms' according to default risk, our model, by taking macro conditions into account, is also able to account for the absolute level of risk.
Authors
Kenneth Carling
Högskolan Dalarna; Statistik
Other publications
>>
Tor Jacobson
Other publications
>>
Jesper Lindé
Other publications
>>
Kasper Roszbach
Other publications
>>
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header:
identifier: oai:dalea.du.se:2598
datestamp: 2021-04-15T12:57:22Z
setSpec: SwePub-du
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recordContentSource: du
recordCreationDate: 2007-03-30
identifier:
http://urn.kb.se/resolve?urn=urn:nbn:se:du-2598
10.1016/j.jbankfin.2006.06.012
titleInfo:
@attributes:
lang: eng
title: Corporate credit risk modeling and the macroeconomy
abstract: Despite a surge in the research efforts put into modeling credit and default risk during the past decade few studies have incorporated the impact that macroeconomic conditions have on business defaults. In this paper we estimate a duration model to explain the survival time to default for borrowers in the business loan portfolio of a major Swedish bank over the period 1994-2000. The model takes both firm-specific characteristics such as accounting ratios and payment behaviour loan-related information and the prevailing macroeconomic conditions into account. The output gap the yield curve and consumers' expectations of future economic development have significant explanatory power for the default risk of firms. We also compare our model with a frequently used model of firm default risk that conditions only on firm-specific information. The comparison shows that while the latter model can make a reasonably accurate ranking of firms' according to default risk our model by taking macro conditions into account is also able to account for the absolute level of risk.
subject:
@attributes:
lang: eng
authority: uka.se
topic:
Social Sciences
Economics and Business
@attributes:
lang: swe
authority: uka.se
topic:
Samhällsvetenskap
Ekonomi och näringsliv
@attributes:
lang: eng
topic: firm default; default risk; credit risk; corporate loans; duration model; survival; macroeconomy
@attributes:
lang: swe
authority: du
topic: Kreditriskmodellering
genre: Research subject
language:
languageTerm: eng
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Published
4
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Carling
Kenneth
role:
roleTerm: aut
affiliation:
Högskolan Dalarna
Statistik
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kca
0000-0003-2317-9157
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Jacobson
Tor
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Lindé
Jesper
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Roszbach
Kasper
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originInfo:
dateIssued: 2007
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titleInfo:
title: Journal of Banking & Finance
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0378-4266
1872-6372
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type: volume
number: 31
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number: 3
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