Monitoring of Credit Risk through the Cycle: Risk Indicators

Olga Yashkir and Yuriy Yashkir

MPRA Paper from University Library of Munich, Germany

Abstract: The new Credit Risk Indicator (CRI) based on credit rating migration matrices is introduced. We demonstrate strong correlation between CRI and a number of defaults through several business cycles. The new model for the simulation of the annual number of defaults, based on the 1st quarter CRI data, is proposed.

Keywords: Credit Risk; Risk Indicator; Correlation; Business Cycle; Default Rate (search for similar items in EconPapers)
JEL-codes: E32 E37 G17 (search for similar items in EconPapers)
Date: 2013-03-02
New Economics Papers: this item is included in nep-ban, nep-mac and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:46402

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