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An Empirical Evaluation of Structural Credit-Risk Models

by Nikola A. Tarashev , International Journal of Central Banking
Save 12% Save 12%
Current price ₹1,563.00
Original price ₹1,770.00
Original price ₹1,770.00
Original price ₹1,770.00
(-12%)
₹1,563.00
Current price ₹1,563.00

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Book cover type: Paperback
  • ISBN13: 9781249560289
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Bibliogov
  • Publisher Imprint: Bibliogov
  • Publication Date:
  • Pages: 56
  • Original Price: GBP 13.99
  • Language: English
  • Edition: N/A
  • Item Weight: 118 grams
  • BISAC Subject(s): General

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.

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