A. Schenck, Natalya - In: Journal of Financial Regulation and Compliance 22 (2014) 2, pp. 159-172
Purpose – This study aims to compare two distance-to-default methods, data-transformed maximum likelihood estimation and “naïve”, that are suitable for financial institutions. The links between these measures and asset size, Tier 1 and Tier 2 capital ratios, non-performing assets and...