Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - Deutsche Bundesbank - 2010
structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum … increased from 25% in March 2007 to 80% in December 2008. Concurrently, the long-term default risk increased from 20% to only 25 …