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dc.contributor.authorLöffler, Gunteren_US
dc.contributor.authorMaurer, Alinaen_US
dc.date.accessioned2009-04-29en_US
dc.date.accessioned2009-07-23T15:15:28Z-
dc.date.available2009-07-23T15:15:28Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/25340-
dc.description.abstractA firm's current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to a target leverage, we forecast future leverage ratios and include them in the set of default risk drivers. The analysis is done with a discrete duration model. Out-of-sample analysis of default events two to five years ahead reveals that the discriminating power of the duration model increases substantially when leverage forecasts are included. We further document that credit ratings contain information beyond the one contained in standard variables but that this information is unrelated to forecasts of leverage ratios.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2009,024en_US
dc.subject.jelG32en_US
dc.subject.jelG33en_US
dc.subject.ddc330en_US
dc.subject.keyworddefault predictionen_US
dc.subject.keyworddiscrete duration modelen_US
dc.subject.keywordleverage targetingen_US
dc.subject.keywordmean reversionen_US
dc.subject.keywordcredit ratingen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwKapitalstrukturen_US
dc.subject.stwMean Reversionen_US
dc.subject.stwTheorieen_US
dc.titleIncorporating the dynamics of leverage into default predictionen_US
dc.typeWorking Paperen_US
dc.identifier.ppn598740201en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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