 Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamicsJournal of Banking & Finance, 2009, vol. 33, issue 2, 281-299 Abstract: Understanding if credit risk is driven mostly by idiosyncratic firm characteristics or by systematic factors is an important issue for the assessment of financial stability. By exploring the links between credit risk and macroeconomic developments, we observe that in periods of economic growth there may be some tendency towards excessive risk-taking. Using an extensive dataset with detailed information for more than 30Â 000 firms, we show that default probabilities are influenced by several firm-specific characteristics. When time-effect controls or macroeconomic variables are also taken into account, the results improve substantially. Hence, though the firms' financial situation has a central role in explaining default probabilities, macroeconomic conditions are also very important when assessing default probabilities over time. Keywords: Credit; risk; Default; probability; Corporate; loans; Probit; models; Duration; analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:33:y:2009:i:2:p:281-299 Access Statistics for this article Journal of Banking & Finance is currently edited by Ike Mathur More articles in Journal of Banking & Finance from Elsevier |
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