Structural models of default: lessons from firm-level data

Nikola Tarashev

BIS Quarterly Review, 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-codes: C52 G10 G30 (search for similar items in EconPapers)

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