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Interdependencies between Expected Default Frequency and the Macro Economy
10 references·2 citing·48 second hopsampled
Interdependencies between Expected Default Frequency and the Macro Economy (2018)Interdependencies between Expected Defaul…Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland (2017)Macro Stress Testing with a M…Merton, Robert C. (2010)Merton, Robert C.Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Macroeconomic Dynamics and Cr…Fundamentals-Based Estimation of Default Probabilities - A Survey (2006)Fundamentals-Based Estimation…Sectoral fragility: factors and dynamics (2005)Sectoral fragility: factors a…Exploring interactions between real activity and the financial stance (2005)Exploring interactions betwee…Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986-2002 (2003)Monetary Policy Shocks and Bu…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Irish macroeconomic response to an external shock with an application to stress testing (2014)The Irish macroeconomic respo…A market-based approach to sector risk determinants and transmission in the euro area (2013)A market-based approach to se…A comparative analysis of current credit risk models (2000)A comparative anatomy of credit risk models (2000)Counterparty Risk and the Pricing of Defaultable Securities (2001)Macroeconomic impact on expected default frequency (2008)A Macroprudential Framework for Monitoring and Examining Financial Soundness (2010)Theory of Rational Option Pricing (1973)Bank competition and financial stability in Asia Pacific (2013)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)How does competition affect bank systemic risk? (2013)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Monetary policy and financial (in)stability: An integrated micro–macro approach (2007)Measuring financial stress in transition economies (2012)Financial stress spillovers across the banking, securities and foreign exchange markets (2015)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Monetary Policy in an Estimated Open-Economy Model with Imperfect Pass-Through (2004)Monetary Policy and Swedish Unemployment Fluctuations (2008)Optimal Monetary Policy in an Operational Medium-Sized DSGE Model (2008)Econometric policy evaluation: A critique (1976)Agency Costs, Net Worth, And Business Fluctuations (1988)Stress Testing Credit Risk: A Survey of Authorities' Approaches (2008)Default rates in the loan market for SMEs: Evidence from Slovakia (2009)Joint effect of financial fragility and macroeconomic shocks on bank loan losses: Evidence from Europe (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Stability of rating transitions (2000)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Modelling Scenario Analysis and Macro Stress-testing (2006)Market conditions, default risk and credit spreads (2009)Non-Performing Loans: What Matters in Addition to the Economic Cycle? (2013)Key Determinants of Non-performing Loans: New Evidence from a Global Sample (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2010Merton, Robert C.812 cited
  • 2006Macroeconomic Dynamics and Credit Risk: A Global Perspective408 cited
  • 2005Exploring interactions between real activity and the financial stance97 cited
  • 2017Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland65 cited
  • 2006Fundamentals-Based Estimation of Default Probabilities - A Survey55 cited
  • 2003Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986-200236 cited
  • 2005Sectoral fragility: factors and dynamics26 cited

Cited by

  • 2013A market-based approach to sector risk determinants and transmission in the euro area22 cited
  • 2014The Irish macroeconomic response to an external shock with an application to stress testing10 cited

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