An Empirical Evaluation of Structural Credit-Risk Models

Nikola Tarashev ()

International Journal of Central Banking, 2008, vol. 4, issue 1, 1-53

Abstract: This paper evaluates the capacity of five structural credit risk models to forecast default rates. In contrast to previous studies with similar objectives, the paper employs firm-level data and finds that model-based forecasts of default rates tend to be unbiased and to deliver point-in-time errors that are small in both statistical and economic terms. In addition, in- and out-of-sample regression analysis reveals that the models account for a significant portion of the variability of credit risk over time but fail to fully reflect its dependence on macroeconomic cycles.

JEL-codes: C13 E44 G28 G33 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: An empirical evaluation of structural credit risk models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2008:q:1:a:1

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