Serving the Quantitative Finance Community

 
User avatar
AlanB
Topic Author
Posts: 1
Joined: July 14th, 2002, 3:00 am

Default Probability and Macroeconomic Factors

January 14th, 2013, 2:59 pm

I'm trying to find literature and or research performed on the relationship between the probability of default and (exogenous) macroeconomic factors (such as GDP, CPI, Unemployment Rates, Interest rates, ...etc.). I've found some limited sources (papers by Y.Qu, by J.A. Chan-Lau). Most seem to have been done in European economies. Although they do provide some insight, it would be helpful if one could provide leads to similari research performed for the U.S. economy. Any/all help would be greatly appreciated.
 
User avatar
Anthis
Posts: 7
Joined: October 22nd, 2001, 10:06 am

Default Probability and Macroeconomic Factors

January 14th, 2013, 6:53 pm

HTH
 
User avatar
AlanB
Topic Author
Posts: 1
Joined: July 14th, 2002, 3:00 am

Default Probability and Macroeconomic Factors

January 14th, 2013, 7:49 pm

Thanks Anthis. I ran across this paper several times. I was looking for something more analytically detailed. I tried to get Wilson's two notes published in Risk magazine in 1997 (assuming they were more detailed), but to no avail. Again, thanks for the help. QuoteOriginally posted by: AnthisHTH
 
User avatar
quartz
Posts: 3
Joined: June 28th, 2005, 12:33 pm

Default Probability and Macroeconomic Factors

March 1st, 2013, 2:52 pm

I would suggest checking the stress testing literature, there PD models with explicit macro factors are by necessity much more common. Also TtC approaches a-la Moody and Fitch must by definition be able to factor out macro factors so there's something on the topic in their docs, however I dont know if the link between their high-level models and outputs is accessible enough for your purposes. Do you want to bench against detailed approaches?
 
User avatar
farmer
Posts: 61
Joined: December 16th, 2002, 7:09 am

Default Probability and Macroeconomic Factors

March 10th, 2013, 10:23 am

QuoteOriginally posted by: AlanBAlthough they do provide some insight, it would be helpful if one could provide leads to similari research performed for the U.S. economy. Any/all help would be greatly appreciated.Can you just use research on stock price and macroeconomic factors, and then tie default probability to stock price/volatility? You could make your own "synthetic research."
 
User avatar
Culverin
Posts: 0
Joined: May 17th, 2012, 5:18 am

Default Probability and Macroeconomic Factors

March 20th, 2013, 3:11 am

Jf forthcoming:http://papers.ssrn.com/sol3/papers.cfm? ... 480409Both default rate and recovery rate are considered.