Research into credit default assessment - AndileMasi/10X-MacroEconomics GitHub Wiki

Global Credit Default Policy

We have a couple links that looked at relationships between macroeconomic variables and default rates.

The following is research paper looked at the relationship applied with the FAVAR model. Macroeconomic variables and default risk: an application of the FAVAR model

The following link is a loo at how credit ratings agencies work. This information is supplied by BNP paribas. How credit rating agencies rate companies and countries

The following link is for a study done looking into the operations at Moody's. Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions

This article explains the credit default assessment specifically aligned with Basel III A COMPLETE GUIDE TO CREDIT RISK MODELLING