کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090525 1375635 2009 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
چکیده انگلیسی
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 30 000 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 33, Issue 2, February 2009, Pages 281-299
نویسندگان
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