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Predicting the loss given default distribution with the zero-inflated censored beta-mixture regression that allows probability masses and bimodality
Hwang, Ruey-Ching; Chu, Chih-Kang; Yu, Kaizhi - In: Journal of financial services research 59 (2021) 3, pp. 143-172
Persistent link: https://www.econbiz.de/10012547106
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A joint model of failures and credit ratings
Hirk, Rainer; Vana, Laura; Hornik, Kurt; Pichler, Stefan - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 61-88
Persistent link: https://www.econbiz.de/10012519961
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Corporate default risk modeling under distressed economic and financial conditions in a developing economy
Matenda, Frank Ranganai; Sibanda, Mabutho; Chikodza, Eriyoti - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 89-115
Persistent link: https://www.econbiz.de/10012519965
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Industry Distress and Default Recovery Rates : The Unconditional Quantile Regression Approach
Chuang, Hui-Ching - 2020
In this study, we estimate the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR) proposed in Firpo, Fortin, and Lemieux (2009). The UQR provides better interpretative and thus policy-relevant information on the marginal effect of the covariates...
Persistent link: https://www.econbiz.de/10012847199
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Local logit regression for loan recovery rate
Sopitpongstorn, Nithi; Silvapulle, Paramsothy; Gao, Jiti; … - In: Journal of banking & finance 126 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012820172
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Machine learning methods for short-term probability of default : a comparison of classification, regression and ranking methods
Coenen, Lize; Verbeke, Wouter; Guns, Tias - In: Journal of the Operational Research Society 73 (2022) 1, pp. 191-206
Persistent link: https://www.econbiz.de/10012872899
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Automatic spline knot selection in modeling mortgage loan default using shape constrained regression
Xu, Guangning; Deng, Geng; Wang, Xindong; Fu, Ken - In: The journal of structured finance 27 (2021) 3, pp. 18-36
Persistent link: https://www.econbiz.de/10012698204
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Analysis of family SMEs default risk : the Portuguese case
Lisboa, Inês Margarida; Costa, Magali; Santos, Filipa - In: Australasian accounting business and finance journal : AABF 15 (2021) 4, pp. 76-92
Persistent link: https://www.econbiz.de/10012664439
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Refinance and Mortgage Default : A Regression Discontinuity Analysis of HARP's Impact on Default Rates
Karamon, Kadiri - 2016
This paper examines the impact of refinancing on mortgage defaults based on an empirical investigation of the Home Affordable Refinance Program (HARP). We study a unique dataset from Freddie Mac which includes loans funded right before and after the HARP eligibility cutoff date, an exogenous...
Persistent link: https://www.econbiz.de/10012989364
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Predicting default of listed companies in mainland China via U-MIDAS Logit model with group lasso penalty
Jiang, Cuixia; Xiong, Wei; Xu, Qifa; Liu, Yezheng - In: Finance research letters 38 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012487913