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Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. TI 2021-059/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
We investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as covariates overestimate credit risk incidence due to the unprecedented drops in economic activity in the first lockdowns. We argue that this break in the macro-credit linkage is less affected if we take an unobserved components modeling framework, both at shorter and longer credit risk horizons.
Schlagwörter: 
COVID-19
credit risk
macro fundamentals
frailty factors
dynamic latent factors
JEL: 
G21
C22
Dokumentart: 
Working Paper
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