Despite intense criticism, agency credit ratings are still widely used in regulation and risk management. One possible alternative is to replace them with quantitative default risk measures. For US data, I find that systemically relevant losses from corporate defaults are mostly smaller if...

We investigate the effect of analyst distance in the credit rating industry and show that issuers with analysts located in more distant offices have lower default rates than issuers with closer analysts and the same rating. Our results are robust to an analyst home bias and suggest that more...

Standard credit risk models rely on a doubly stochastic structure. Conditional on the evolution of common factors, defaults are independent. Recently, tests by Das, Duffie, Kapadia and Saita (2007) have cast doubt on the empirical validity of this assumption. We modify their estimation approach...