Structural Models of Default: Lessons from Firm-Level Data

10 Pages Posted: 28 May 2012 Last revised: 29 Sep 2013

See all articles by Bank for International Settlements

Bank for International Settlements

Bank for International Settlements (BIS)

Nikola A. Tarashev

Bank for International Settlements (BIS) - Monetary and Economic Department

Date Written: September 1, 2005

Abstract

Structural credit risk models account for the average level of default rates within rating categories only when calibrated on a firm by firm basis. Nevertheless, firm-specific information matters little when one is interested in forecasting the path of default rates over time. This is because economic factors common to all firms strongly influence the evolution of default predictions.

JEL Classification: C520, G100, G300

Suggested Citation

Settlements, Bank for International and Tarashev, Nikola A., Structural Models of Default: Lessons from Firm-Level Data (September 1, 2005). BIS Quarterly Review, September 2005, Available at SSRN: https://ssrn.com/abstract=1884874

Bank for International Settlements (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4051
Switzerland

Nikola A. Tarashev

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

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