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Exposure at default models with and without the credit conversion factor
Tong, Edward N. C.; Mues, Christophe; Brown, Iain; … - In: European journal of operational research : EJOR 252 (2016) 3, pp. 910-920
Persistent link: https://www.econbiz.de/10011472989
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Exposure at default modeling : a theoretical and empirical assessment of estimation approaches and parameter choice
Gürtler, Marc; Hibbeln, Martin; Usselmann, Piet - In: Journal of banking & finance 91 (2018), pp. 176-188
Persistent link: https://www.econbiz.de/10011963658
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Modelling credit card exposure at default using vine copula quantile regression
Wattanawongwan, Suttisak; Mues, Christophe; Okhrati, Ramin - In: European journal of operational research : EJOR 311 (2023) 1, pp. 387-399
Persistent link: https://www.econbiz.de/10014336533
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A mixture model for credit card exposure at default using the GAMLSS framework
Wattanawongwan, Suttisak; Mues, Christophe; Okhrati, Ramin - In: International journal of forecasting 39 (2023) 1, pp. 503-518
Persistent link: https://www.econbiz.de/10014462794
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Determinants of corporate exposure at default under distressed economic and financial conditions in a developing economy : the case of Zimbabwe
Matenda, Frank Ranganai; Sibanda, Mabutho; Chikodza, Eriyoti - In: Risk management : an international journal 23 (2021) 1/2, pp. 123-149
Persistent link: https://www.econbiz.de/10012544574
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Modeling credit risk in the presence of central bank and government intervention
Engelmann, Bernd - In: The journal of risk model validation 16 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014540302
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A market-based study of the cost of default
Davydenko, Sergei A.; Strebulaev, Ilya A.; Zhao, Xiaofei - 2012
Although the cost of financial distress is a central issue in capital structure and credit risk studies, reliable estimates of its size are difficult to come by. This paper proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon...
Persistent link: https://www.econbiz.de/10010206258
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Cash holdings and credit risk
Acharya, Viral V.; Davydenko, Sergei A.; Strebulaev, Ilya A. - 2012
Intuition suggests that firms with higher cash holdings should be 'safer' and have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive. This puzzling finding can be explained by the precautionary motive for saving cash, which in our model causes...
Persistent link: https://www.econbiz.de/10010206259
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Default prediction around the world : the effect of constraints on pessimistic trading
Maffett, Mark; Owens, Edward; Srinivasan, Anand - 2013
We examine how equity-market frictions that restrict pessimistic trading, such as short-sale constraints, affect assessments of default risk. We find that these frictions decrease the usefulness of equity-market variables for identifying defaulting firms but increase their usefulness for...
Persistent link: https://www.econbiz.de/10010250688
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Building legal indexes to explain recovery rates: An analysis of the French and English bankruptcy codes
Blazy, Régis; Chopard, Bertrand; Nigam, Nirjhar - In: Journal of Banking & Finance 37 (2013) 6, pp. 1936-1959
The paper analyzes the characteristics of bankruptcy procedures that may impact on creditors’ recoveries. We propose … bankrupt SMEs. Several bankruptcy rules are associated with higher recoveries: namely, accessibility of the procedure … 132 legal indexes accounting for the main functions of bankruptcy codes: namely, the accessibility of the procedures …
Persistent link: https://www.econbiz.de/10010662586