Credit Cycle in the Measurement of Corporate Default Rates: Evidence from the Oil and Gas Industry

Student: Yakovlev Danil

Supervisor: Dmitry V. Levando

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Master)

Year of Graduation: 2018

We analyze the interdependence between probability of defaults in Oil and Gas industry and the current state of the credit cycle. After modelling the default intensity using the transitions in credit ratings, we show that macroeconomic variables associated with credit cycle have the significant impact on the average default rates in the O&G industry.

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