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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 08-029/4
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk factors. All factors are statistically and economically significant and together capture a large part of the time-variation in observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default probabilities by about 10-35% in terms of Mean Absolute Error, particularly in years of default stress.
Schlagwörter: 
Non-Gaussian Panel Data
Common Factors
Unobserved Components
Forecasting Conditional Default Probabilities
JEL: 
C33
G21
Dokumentart: 
Working Paper
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