, we forecast future leverage ratios and include them in the set of default risk drivers. The analysis is done with a …

is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of the convergence of the error … means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as … distribution-invariant coherent risk measures. -- total claim distribution ; [phi]- and [alpha]-mixing sequences of random …

order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in dfferent locations and showed that neither … accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. -- Weather …

. The local effects of temperature risk support the existence of global warming. -- Weather ; temperature ; seasonality …

Predicting default probabilities is at the core of credit risk management and is becoming more and more important for … banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary …

The trade-off theory on capital structure is tested by modelling the capital structure target as the solution to a … determinants. In contrast, the framework applied here allows for a direct test: results confirm the trade-off theory for small and … medium-sized firms, but not for large firms. -- Capital structure ; nonlinear ; latent variables ; trade-off theory …

inventories. Based on the performance measures, the SVMtool can predict a firms default risk and identify the insolvent firm more … risk scores obtained for classification. This evidence is stronger than empirical results for the CAPM based on a linear …