an application of the Value of the Firm model [Merton (1974)] to both default and loss given default. …

are more prone to default on their financial obligations from those that are less prone to do so. To fulfill this … will fail to meet their financial obligations are: debt ratio and the number of banking relationships. We also use a Logit … model to estimate the debtors probability of default (PD) and its distribution. The PD distribution has a positive skew and …

Capital Accord. The theoretical models combine Merton’s distance-to-default approach with credit value-at-risk methodologies … portfolio of farms are calculated using probability of default, loss given default, and portfolio risk measures. The results …

obtained by KOSGEB. We find that efficient and internationally competitive SMEs are unlikely to default. Firms with high …

panel techniques. The results indicate that the determinants of default on bank loans are unemployment, exchange rate …, industrial production, indebtedness and interest rate spreads. It is remarked that default events for the household sector occur …

used to develop logistic regression based scoring functions with different definitions of default from a very broad to a … narrow or hard. The performance of the scoring functions is compared with respect to the hard definition of default which … definitions of default perform worse than those developed on harder definitions of default. The conclusion is put into contrast …