The aim of this paper is to develop a methodology for thorough empirical testing of major contemporary corporate risk management theories: financial theory, agency theory, stakeholder theory and new institutional economics. Unlike in previous research, the tests are organised around theories,...

In this paper an approach for automatic detection of segments where a regression model significantly underperforms and for detecting segments with systematically under- or overestimated prediction is introduced. This segmentational approach is applicable to various expert systems including, but...

The enormous growth experienced by the credit industry has led researchers to develop sophisticated credit scoring models that help lenders decide whether to grant or reject credit to applicants. This paper proposes a credit scoring model based on boosted decision trees, a powerful learning...

In this paper we study factor models for security returns on financial markets, where some pervasive factors are common across all securities and other pervasive factors prevail only within some groups of securities but not in others. This kind of structured factors allow a more nuanced analysis...

Bayesian model averaging is applied to robustly ascertain the determinants of various output volatility measures, including the downside semideviation of growth rates. Financial sophis- tication variables are found to have qualitatively different effects on volatility. The ratio of govern- ment...

The choice of the appropriate linear model before this can be used for planning and decision making, has been the concern of many statistical workers. Most of the methods in the literature aim at evaluating the descriptive ability of the candidate models. In the present paper an evaluation...

In this paper, an evaluation method is suggested for selecting one of two competing models based on certain predictive ability ratings. The main focus is on the case of linear models that are not necessarily nested. In the context of such models, the test procedure is based on a sample statistic...

The paper deals with a distribution that arises as the distribution of a sample statistic used to compare the predictive ability of two competing linear models. It is defined as the distribution of the ratio of two correlated gamma variables and its probabilities are tabulated in order that they...