• 1. Default Dataset
  • 2. Models of Default Probabilities
  • 2.1. Factor Models of Intensities
  • 2.2. A Semi-Parametric Framework for Intensities
  • 3. Potential Determinants of Default
  • 3.1. Financial Market Information
  • 3.2. Business Cycle
  • 3.3. Credit Market Information
  • 3.4. Inner Dynamics of the Default Cycle
  • 3.5. Statistics
  • 4. Predictors and Indicators of the Default Cycle
  • 4.1. Influence of Financial Markets
  • 4.2. Business Cycle Effects
  • 4.3. Impacts of Credit and Default Factors
  • 4.4. Persistency and Importance of Past Conditions
  • 5. Efficient Hazard Models across Rating Classes
  • 5.1. Failure of Contemporaneous Financial Market Factors
  • 5.2. Models Based on Non Financial Information
  • 5.3. Benefits of Considering All Current Economic Indicators
  • 5.4. Trends and Persistency of Shocks
  • Summary
  • References