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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.

HTH

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

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?

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."

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