Innovative Approach for Forecasting Corporate Default Risk
Keywords: Default risk, back testing, stress testing and transition matrix
AbstractInnovative Approach for Forecasting Corporate Default Risk Submitted To: Journal of Global Economy By: Prashanta Kumar Behera, PhD Email: email@example.com . Ph : 91+8108932693Abstract: Present time corporate default risk parameters are dynamic in nature and understanding how these parameters change in time is a fundamental task for risk management. In this research paper I am trying to forecast for corporate default rates. I work with historical credit migrations data to construct some time series of interest and to visualize default rates dynamics and also, I use some of the series constructed and some additional data to fit a forecasting model for corporate default rates and to shows some back testing and stress testing. A linear regression model for corporate default rates is presented but the tools and concepts described can be used in combination with other forecasting methodologies.Keywords: Default risk, back testing, stress testing and transition matrix.
How to Cite
Behera, P. (2018). Innovative Approach for Forecasting Corporate Default Risk. Journal of Global Economy, 14(2), 106-119. Retrieved from http://www.rcssindia.org/jge/index.php/jge/article/view/483