Credit risk drivers: evaluating the contribution of firm level information and of macroeconomic dynamics

Diana Bonfim*

*Autor correspondente para este trabalho

Resultado de pesquisarevisão de pares

196 Citações (Scopus)

Resumo

Understanding if credit risk is driven mostly by idiosyncratic firm characteristics or by systematic factors is an important issue for the assessment of financial stability. By exploring the links between credit risk and macroeconomic developments, we observe that in periods of economic growth there may be some tendency towards excessive risk-taking. Using an extensive dataset with detailed information for more than 30 000 firms, we show that default probabilities are influenced by several firm-specific characteristics. When time-effect controls or macroeconomic variables are also taken into account, the results improve substantially. Hence, though the firms' financial situation has a central role in explaining default probabilities, macroeconomic conditions are also very important when assessing default probabilities over time.
Idioma originalEnglish
Páginas (de-até)281-299
Número de páginas19
RevistaJournal of Banking and Finance
Volume33
Número de emissão2
DOIs
Estado da publicaçãoPublicado - 1 fev. 2009
Publicado externamenteSim

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