The objective of this research is to develop a structural form probability of default model for small and medium-sized enterprises, dealing with the methodological issues which arise in the modelling of small commercial loan portfolios, and to test the applicability of the model in practice....

The capital market in which asset-backed securities are issued and traded is composed of three main categories: ABS, MBS and CDOs. We were able to examine a total number of 3,466 loans (worth Euro 548.85 billion) of which 1,102 (worth Euro 163.90 billion) have been classified as ABS. MBS issues...

In this study we provide empirical evidence demonstrating a relationship between the nature of the assets and the primary market spread. The model also provides predictions on how other pricing characteristics affect spread, since little is known about how and why spreads of asset-backed...

The objective of this research is to develop a structural form probability of default model for small and medium-sized enterprises, dealing with the methodological issues which arise in the modelling of small commercial loan portfolios, and to test the applicability of the model in practice....

The objective of this research is to determine the optimal rating philosophy for the rating of SMEs, and to describe the consequences of the chosen philosophy on several related aspects. As to our knowledge, this is the first paper that studies the considerations of financial institutions on...

Recently Life Insurance Securitisation practices have been probed in dedicated areas to access the wider capital markets. These developments have shown a rising interest among leading insurers and reinsurers to start building experience with securitisation practices, either for risk transfer,...

Financial statements vary between industries. Therefore, economic intuition suggests that industry effects should be an important component in bankruptcy prediction; however, in previous academic literature on default prediction, not much attention has been paid to these effects. In this study a...