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A two-stage probit model for predicting recovery rates

Hwang, Ruey-Ching; Chung, Huimin; Chu, C. K. - In: Journal of financial services research : JFSR 50 (2016) 3, pp. 311-339

Persistent link: https://www.econbiz.de/10011667877

Predicting Recurrent Financial Distresses with Autocorrelation Structure: An Empirical Analysis from an Emerging Market

Hwang, Ruey-Ching; Chung, Huimin; Ku, Jiun-Yi - In: Journal of Financial Services Research 43 (2013) 3, pp. 321-341

The dynamic logit model (DLM) with autocorrelation structure (Liang and Zeger Biometrika 73:13–22, <CitationRef CitationID="CR26">1986</CitationRef>) is proposed as a model for predicting recurrent financial distresses. This model has been applied in many examples to analyze repeated binary data due to its simplicity in computation and...</citationref>

Persistent link: https://www.econbiz.de/10010987900

Assessing bankruptcy prediction models via information content of technical inefficiency

Hwang, Ruey-Ching; Siao, Jhao-Siang; Chung, Huimin; Chu, C. - In: Journal of Productivity Analysis 36 (2011) 3, pp. 263-273

Persistent link: https://www.econbiz.de/10010865946

Heterogeneity in the relationship between subjective well-being and its determinants over the life cycle : a varying-coefficient ordered probit approach

Lin, Yi-Chen; Hwang, Ruey-Ching; Deng, Wen-Shuenn - In: Economic modelling 49 (2015), pp. 372-386

Persistent link: https://www.econbiz.de/10011439595

Predicting the loss given default distribution with the zero-inflated censored beta-mixture regression that allows probability masses and bimodality

Hwang, Ruey-Ching; Chu, Chih-Kang; Yu, Kaizhi - In: Journal of financial services research 59 (2021) 3, pp. 143-172

Persistent link: https://www.econbiz.de/10012547106

Predicting LGD distributions with mixed continuous and discrete ordinal outcomes

Hwang, Ruey-Ching; Chu, Chih-Kang; Yu, Kaizhi - In: International journal of forecasting 36 (2020) 3, pp. 1003-1022

Persistent link: https://www.econbiz.de/10012497162

Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points

Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117

Persistent link: https://www.econbiz.de/10012301329

A logistic regression point of view toward loss given default distribution estimation

Hwang, Ruey-Ching; Chu, Chih-Kang - In: Quantitative finance 18 (2018) 3, pp. 419-435

Persistent link: https://www.econbiz.de/10011906390

Predicting issuer credit ratings using generalized estimating equations

Hwang, Ruey-Ching - In: Quantitative Finance 13 (2013) 3, pp. 383-398

The dynamic ordered probit model (DOPM) with autocorrelation structure is proposed as a model for credit risk forecasting. It is more appropriate than the DOPM with independence structure, because correlations among repeated credit ratings have been observed by Altman and Kao [<italic>J. Financ. Anal</italic>.,...

Persistent link: https://www.econbiz.de/10010976257

Forecasting credit ratings with the varying-coefficient model

Hwang, Ruey-Ching - In: Quantitative Finance 13 (2013) 12, pp. 1947-1965

The dynamic ordered varying-coefficient probit model (DOVPM) is proposed as a model for studying credit ratings. It is constructed by replacing the constant coefficients of firm-specific predictors in the dynamic ordered probit model (DOPM) of Blume, Lim and MacKinlay (1998) with the smooth...

Persistent link: https://www.econbiz.de/10010751523