Gender is prohibited from use in decision-making in many countries. This does not necessarily benefit females, as this paper shows by analysing a unique proprietary dataset on car loans from an EU bank. The results suggest that inclusion of Gender as a dummy variable is statistically...

A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since the new Capital Accord was published in June 2004, there has been increasing interest in the modelling of the LGD parameter on the part of both academics and practitioners. The main purpose of this...

The idea of the article is to present a review of solutions, preventive and/or remedial in character, applied in several developed countries that had to deal with the problem of the over-indebtedness earlier than in Poland. We assumed that the development of the financial knowledge and...

This study, using the Cox proportional hazards model, finds that the risk of takeover rises with cost inefficiency. It also finds that a firm faces a significantly higher risk of takeover if its cost performance lags behind its industry benchmark. These findings, moreover, appear to be...

Despite overwhelming evidence to the contrary, credit migration matrices, used in many credit risk and pricing applications, are typically assumed to be generated by a simple Markov process. In this paper we propose a parsimonious model that is a mixture of (two) Markov chains. We estimate this...

This paper considers a new mixture of time homogeneous finite Markov chains where the mixing is on the rate of movement and develops the EM algorithm for the maximum likelihood estimation of the parameters of the mixture. A continuous and discrete time versions of the mixture are defined and...

This paper examines whether financial buyers are more likely to initiate takeovers ofinefficient firms. We show that they indeed are and thus conclude that takeovers byfinancial buyers play a potentially beneficial role in the allocation of corporate assets in the U.S. economy. Our analysis of...

The usual tool for modeling bond ratings migration is a discrete, time homogeneous Markov chain. Such model assumes that all bonds are homogeneous with respect to their movement behavior among rating categories and that the movement behavior does not change over time. However, among recognized...

We consider estimation of a quantile from a discrete distribution. This gives rise tothree new ideas, the confidence set for such a quantile, the notion that the associatedconfidence level can be increased after the data are collected, and that it is legitimateto strive to obtain a singleton...