Credit ratings are ordinal predictions for the default risk of an obligor. To evaluate the accuracy of such predictions commonly used measures are the Accuracy Ratio or, equivalently, the Area under the ROC curve. The disadvantage of these measures is that they treat default as a binary variable...

What is the influence of syndicate organization on the duration of loan arrangement? I answer this question using the survival analysis methodology on a sample of loans from 59 countries over the 1992-2006 period. I find that syndicate size, concentration, reputation, and national diversity...

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...

This paper studies trading volume of 206 recorded and publicly traded bonds in Indonesian Capital Market on January 4th – March 9th 2009 observed period. The data covers almost all trading data in the market and all brokers that exist. The microstructure data used in this study is a complete...

Using household survey data for Albania, this study compare decision-making about human capital investment in remittance-receiving households and non-remittance-receiving households. The Cox proportional hazard model is used to capture the effects of remittances. The crucial assumption in the...

In this paper, I test the savings accumulation conjecture that is used to rationalize return migration decisions in the context of immigrants in Germany. Using cross-country and time variation in purchasing power parity, I distinguish between the two competing capital accumulation conjectures...

We propose new specifications that explicitly account for information noise in the input data of bankruptcy hazard models. The specifications are motivated by a theory of modeling credit risk with incomplete information (Duffie and Lando [2001]). Based on over 2 million firm-months of data...

In the European Union, small and medium sized enterprises (SMEs) represent 99% of all businesses and contribute to more than half of the total value-added. In this paper, we develop distress prediction models for SMEs using a dataset from eight European countries over the period 2000-2009. We...

In this paper I test the capital accumulation conjecture that is used to rationalize return migration decisions in the context of immigrants in Germany and examine how labor market outcomes influence return migration decisions, with particular attention to selection in these outcomes in return...

This paper analyzes a source of financing for commodity producers known as a streaming loan, where the producer makes periodic payments in proportion to their level of production. Streaming loans functions like a cropshare contract, whereas fixed rate debt is like a wage contract. Thus,...