Monitoring of Credit Risk through the Cycle: Risk Indicators

The new Credit Risk Indicator (CRI) based on credit rating migration matrices is introduced. We demonstrate strong correlation between CRI and a number of defaults through several business cycles. The new model for the simulation of the annual number of defaults, based on the 1st quarter CRI data, is proposed.

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Year of publication:	2013-03-02
Authors:	Yashkir, Olga ; Yashkir, Yuriy

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Yashkir, Olga and Yashkir, Yuriy (2013): Monitoring of Credit Risk through the Cycle: Risk Indicators. Forthcoming in:
Classification:	E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; G17 - Financial Forecasting
Source:	BASE

Persistent link: https://www.econbiz.de/10015236759