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Modelling recovery rates for non-performing loans

Ye, Hui; Bellotti, Anthony - In: Risks : open access journal 7 (2019) 1/19, pp. 1-17

Based on a rich dataset of recoveries donated by a debt collection business, recovery rates for non-performing loans taken from a single European country are modelled using linear regression, linear regression with Lasso, beta regression and inflated beta regression. We also propose a two-stage...

Persistent link: https://www.econbiz.de/10012016013

Corporate loan recovery rates under downturn conditions in a developing economy : evidence from Zimbabwe

Matenda, Frank Ranganai; Sibanda, Mabutho; Chikodza, Eriyoti - In: Risks : open access journal 10 (2022) 10, pp. 1-24

In this study, we design stepwise ordinary least squares regression models using various amalgamations of firm features, loan characteristics and macroeconomic variables to forecast workout recovery rates for defaulted bank loans for private non-financial corporates under downturn conditions in...

Persistent link: https://www.econbiz.de/10013556740

How do financial distress risk and related party transactions affect financial reporting quality? : empirical evidence from Iran

Tarighi, Hossein; Hosseiny, Zeynab Nourbakhsh; … - In: Risks : open access journal 10 (2022) 3, pp. 1-23

The paper aims to investigate the effects of financial distress risk (FDR) and related party transactions (RPT) on financial reporting quality (FRQ) in an emerging market called Iran. In this study, the ordinary least squares regression (OLS) method is employed to test the hypotheses; moreover,...

Persistent link: https://www.econbiz.de/10013093083

Short-term price reaction to filing for bankruptcy and restructuring proceedings : the case of Poland

Prusak, Błażej; Potrykus, Marcin - In: Risks : open access journal 9 (2021) 3, pp. 1-14

This study aims to check market reaction to filing for bankruptcy and restructuring proceedings and to verify the short … companies according to the procedure (bankruptcy and restructuring) and market (the main market and the NewConnect market). The … share market react quickly to public information about filing an application for bankruptcy or restructuring. For all …

Persistent link: https://www.econbiz.de/10012508551

Financing cooperative supply chain members : the bank's perspective

Juhász, Péter; Felföldi-Szűcs, Nóra - In: Risks : open access journal 10 (2022) 7, pp. 1-17

, the SC members may cooperate, reducing their bankruptcy risk considerably; thus, the chance for and extent of inter …-entity financial aid are critical to consider when assessing bankruptcy risk. A cooperative SC member cannot just be financed from debt … our results, bankruptcy risk is SC-specific, rather than a characteristic of an individual firm. Therefore, to finance an …

Persistent link: https://www.econbiz.de/10013364873

The economic and financial health of Lithuanian logistics companies

Bužinskienė, Rita; Gelashvili, Vera - In: Risks : open access journal 12 (2024) 6, pp. 1-19

risk, probability of bankruptcy, and level of solvency. To achieve these results, 416 companies were analysed based on …-score model to predict bankruptcy, and, finally, logistic regression analysis to answer the hypotheses. The results show that the …

Persistent link: https://www.econbiz.de/10014636704

Early Warning to Insolvency in the Pension Fund: The French Case

Bonneuil, Noël - In: Risks : open access journal 1 (2013) 1, pp. 1-13

The financial equilibrium of pension funds relies on the appropriate computation of retirement benefits, taking account of future payments and discount rates. Short-term errors in the commitment for retirement benefits, ill-suited investment in the stock market, or improper mixture with...

Persistent link: https://www.econbiz.de/10009754692

New definition of default - recalibration of credit risk models using Bayesian approach

Ptak-Chmielewska, Aneta; Kopciuszewski, Paweł - In: Risks : open access journal 10 (2022) 1, pp. 1-16

After the financial crisis, the European Banking Authority (EBA) has established tighter standards around the definition of default (Capital Requirements Regulation CRR Article 178, EBA/GL/2017/16) to increase the degree of comparability and consistency in credit risk measurement and capital...

Persistent link: https://www.econbiz.de/10012805453

Consumer bankruptcy prediction using balanced and imbalanced data

Brygała, Magdalena - In: Risks : open access journal 10 (2022) 2, pp. 1-13

This paper examines the usefulness of logit regression in forecasting the consumer bankruptcy of households using an … imbalanced dataset. The research on consumer bankruptcy prediction is of paramount importance as it aims to build statistical … models that can identify consumers in a difficult financial situation that may lead to consumer bankruptcy. In the face of …

Persistent link: https://www.econbiz.de/10012805903

An optimal model of financial distress prediction : a comparative study between neural networks and logistic regression

Zizi, Youssef; Jamali-Alaoui, Amine; El Goumi, Badreddine; … - In: Risks : open access journal 9 (2021) 11, pp. 1-24

In the face of rising defaults and limited studies on the prediction of financial distress in Morocco, this article aims to determine the most relevant predictors of financial distress and identify its optimal prediction models in a normal Moroccan economic context over two years. To achieve...

Persistent link: https://www.econbiz.de/10012704037