{"product_id":"an-empirical-evaluation-of-structural-credit-risk-models-9781249560289","title":"An Empirical Evaluation of Structural Credit-Risk Models","description":"\u003cp\u003e • Author(s): Nikola A. Tarashev | International Journal of Central Banking\u003cbr\u003e • Publisher: Bibliogov\u003cbr\u003e • Publisher Imprint: Bibliogov\u003cbr\u003e • BISAC: General\u003c\/p\u003e\u003cp\u003eThis 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.\u003c\/p\u003e","brand":"Bibliogov","offers":[{"title":"Paperback","offer_id":47599267119255,"sku":"9781249560289","price":1563.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9781249560289.webp?v=1775003781","url":"https:\/\/atlanticbooks.com\/products\/an-empirical-evaluation-of-structural-credit-risk-models-9781249560289","provider":"Atlantic Books","version":"1.0","type":"link"}