An Empirical Evaluation of Structural Credit-Risk Models

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.

Author: Nikola A. Tarashev
Publisher: Bibliogov
Published: 09/27/2012
Pages: 56
Binding Type: Paperback
Weight: 0.26lbs
Size: 9.69h x 7.44w x 0.12d
ISBN: 9781249560289

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