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Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10010295888
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10010295906
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Forecasting corporate distress in the Asian and Pacific region
Moro, Russ; Härdle, Wolfgang Karl; Aliakbari, Saeideh; … - 2011
This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a...
Persistent link: https://www.econbiz.de/10010281539
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Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford
Oxelheim, Lars; Wihlborg, Clas - 2009
Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate value and performance. We argue that lenders and management can obtain valuable information about the need for and approach to restructuring by decomposing default predictions...
Persistent link: https://www.econbiz.de/10010320364
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal:...
Persistent link: https://www.econbiz.de/10010326266
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Studiengebühren erhöhen die Mobilität von Studienbewerbern kaum
Dwenger, Nadja; Storck, Johanna; Wrohlich, Katharina - In: DIW Wochenbericht 76 (2009) 43, pp. 744-747
Seit das Bundesverfassungsgericht 2005 das Verbot von Studiengebühren aufgehoben hat, haben sieben Bundesländer Studiengebühren von bis zu 500 Euro pro Semester eingeführt. Eine Studie des DIW Berlin zeigt, dass dies zu Ausweichreaktionen der Studienbewerber geführt hat, die zahlenmäßig...
Persistent link: https://www.econbiz.de/10011602076
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Abiturienten mit guten Noten nehmen eher Studiengebühren in Kauf: Sieben Fragen an Katharina Wrohlich
Wrohlich, Katharina; Wittenberg, Erich - In: DIW Wochenbericht 76 (2009) 43, pp. 745
Persistent link: https://www.econbiz.de/10011602077
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The importance of financial resources for student loan repayment
Lochner, Lance; Stinebrickner, Todd; Suleymanoglu, Utku - 2013
Government student loan programs must balance the need to enforce repayment among borrowers who can afford to make their payments with some form of forgiveness or repayment assistance for those who cannot. Using unique survey and administrative data from the Canada Student Loan Program, we show...
Persistent link: https://www.econbiz.de/10011379991
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Students' academic self-perception
Chevalier, Arnaud; Gibbons, Steve; Thorpe, Andy; Snell, … - 2007
we investigate whether this gap is rooted in students' misperception of their own and other's ability, thereby increasing … and students' characteristics. University students are also poor at estimating their own test-performance and over …-estimate their predicted test score. However, females, white and working class students have less inflated view of themselves. Self …
Persistent link: https://www.econbiz.de/10010268277
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Estimating the effect of student aid on college enrollment: evidence from a government grant policy reform
Nielsen, Helena Skyt; Sørensen, Torben; Taber, Christopher - 2008
In this paper, we investigate the responsiveness of the demand for college to changes in student aid arising from a Danish reform. We separately identify the effect of aid from that of other observed and unobserved variables such as parental income. We exploit the combination of a kinked aid...
Persistent link: https://www.econbiz.de/10010269155