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Capital Structure, Credit Risk, and Macroeconomic Conditions

Hackbarth, Dirk; Miao, Jianjun; Morellec, Erwan - Institut für Schweizerisches Bankwesen <Zürich> - 2004

This paper develops a quantitative framework for analyzing the impact of macroeconomic conditions on credit risk and …

Persistent link: https://www.econbiz.de/10005858794

The impact of extreme weather events on budget balances and implications for fiscal policy

Lis, Eliza M.; Nickel, Christiane - European Central Bank - 2009

This paper explores implications of climate change for fiscal policy by assessing theimpact of large scale extreme weather events on changes in public budgets. We applyalternative measures for large scale extreme weather events and conclude that thebudgetary impact of such events ranges between...

Persistent link: https://www.econbiz.de/10005866589

The Default Risk of Firms Examined with Smooth Support Vector Machines

Härdle, Wolfgang; Lee, Yuh-Jye; Schäfer, Dorothea; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

In the era of Basel II a powerful tool for bankruptcy prognosis isvital for banks. The tool must be precise but also easily adaptable tothe bank's objections regarding the relation of false acceptances (TypeI error) and false rejections (Type II error). We explore the suitabil-ity of Smooth...

Persistent link: https://www.econbiz.de/10005860752

Risk Selection in Natural Disaster Insurance the Case of France

Jametti, Mario; Ungern-Sternberg, Thomas von - CESifo GmbH <München> - 2006

It is widely recognized that "market failure" prevents efficient risksharing in natural disaster insurance. As a …-private partnerships. We define risk selection asa situation where private companies pass insurance of high risk agentson to the public … rate in both highand low risk regions and the existence of a state reinsurer... …

Persistent link: https://www.econbiz.de/10005861242

Kombinierte Liquiditäts- und Solvenzkennzahlen und ein darauf basierendes Insolvenzprognosemodell für deutsche GmbHs

Perederiy, Volodymyr - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in...

Persistent link: https://www.econbiz.de/10005860838

Ein Vergleich des binären Logit-Modells mit künstlichen neuronalen Netzen zurInsolvenzprognose anhand relativer Bilanzkennzahlen

Franken, Ronald - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

Die Prognose der Insolvenzgefährdung von Unternehmen anhand statistischer Methodik war und ist eine bedeutende Aufgabe empirischer Forschung. Eine Möglichkeit der Beurteilung der finanziellen bzw. wirtschaftlichen Verfassung von Unternehmen stellt die sog. externe Bilanzanalyse anhand...

Persistent link: https://www.econbiz.de/10005860996

Estimation of Default Probabilities with Support Vector Machines

Shiyi, Chen; Härdle, Wolfgang K.; Moro, Rouslan Arthur - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

inventories. Based on the performance measures, the SVMtool can predict a firms default risk and identify the insolvent firm more …-Watson estimator, the expected returnspredicted by the SVM for regression have a significant positive linearrelationship with the risk …

Persistent link: https://www.econbiz.de/10005861245

Nonlinear Modeling of Target Leverage with Latent Determinant Variables - New Evidence on the Trade-off Theory

Sabiwalsky, Ralf - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

The trade-off theory on capital structure is tested by modelling the capital structure target asthe solution to a maximization problem. This solution maps asset volatility and loss givendefault to optimal leverage. By applying nonlinear structural equation modelling, theseunobservable variables...

Persistent link: https://www.econbiz.de/10005862430

Strategic Behavior, Financing, and Stock Returns

Valta, Philip - Swiss National Centre of Competence in Research North … - 2008

In this paper I analyze how debt structure and the strategic interaction betweenshareholders and creditors in the event of default a¤ect expected stock returns. By en-dogenizing shareholders decision to default, the model generates new predictions linkingrm characteristics to expected stock...

Persistent link: https://www.econbiz.de/10005868917

Distressed equity offeringsby German corporations

Jostarndt, Philipp - Universität <München> / Fakultät für Betriebswirtschaft - 2007

For a sample of 267 financially distressed German corporations, I analyze firms'decision to recapitalize by raising fresh equity. I find evidence consistent with thehypothesis that wealth transfers from owners to creditor resulting from a costlydebt overhang present a potential impediment to a...

Persistent link: https://www.econbiz.de/10005869355