Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - Tinbergen Institute - 2002
movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk … analysis. First, a static analysis of portfolio credit risk can underestimate credit risk significantly by not accounting for … actual credit risk experiment, addressing the issue of pro-cyclicality in ratings and capital buffer formation. It turns out …