Multi-period Default Prediction with Covariates

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Taherizadeh, Ali | 2009

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 39854 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Zamani, Shiva
Abstract:
Credit risk is one of the most important sources of risk that banks and other similar financial institutions have to face with. So academics and practitioners were always interested in appropriate models that can analyze this risk. Reduced form models are newer models than structural models that have more real assumption and are rich in modeling default. In this research we study the effect of macroeconomic and firm-specific variables on probability of default in the reduced form framework. Our results show that inflation, stock market return, leverage ratio, asset turnover, loan age, and default history are significant variables.
JEL classification: G33; C41; G21
Keywords:
Credit Risk ; Reduced Form Model ; Default Risk ; Duration Analysis

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