Default Probability and Macroeconomic Fators

AlanB · January 14th, 2013, 3:00 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.

Alan · January 14th, 2013, 6:03 pm

The default of what (corporations, individuals, municipalities ...) ?

AlanB · January 14th, 2013, 6:18 pm

Good question. I guess my immediate interest is in the relation for financial and non-financial institutionsQuoteOriginally posted by: AlanThe default of what (corporations, individuals, municipalities ...) ?

Alan · January 14th, 2013, 7:34 pm

Although much maligned, your best bet might be ratings agency research (if you can get access to it) for the non-financials,and perhaps Federal reserve branch publications for the financials.

AlanB · January 14th, 2013, 7:45 pm

Thanks for the suggestions. QuoteOriginally posted by: AlanAlthough much maligned, your best bet might be ratings agency research (if you can get access to it) for the non-financials,and perhaps Federal reserve branch publications for the financials.

4rcher · January 15th, 2013, 1:33 pm

Here are some academic papers:Frailty Correlated Default Multiperiod Corporate Default Prediction Latent Factor Intensity Model