Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
نویسندگان
چکیده
منابع مشابه
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
We model 1927–1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk analysis. First, a static an...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.302688