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.