TRENCA, Ioan; BENYOVSZKI, Annamaria - In: Finante - provocarile viitorului (Finance - Challenges … 1 (2008) 7, pp. 118-126
In this study we apply a macroeconomic credit risk model which links a set of macroeconomic factors and industry-specific corporate sector default rates using Romanian data over the time period from 2002:2 to 2007:2. We will model and estimate industry-specific default rates, simulate with Monte...