This report presents two of our investigations: one is to obtain an accurate forecast for the corporate bankruptcy; the other is to obtain a physical default intensity. Both investigations were based on the hazard model, using only firm-specific accounting variables as predictors. Different...

Several studies investigated the predictability of financial distress. With this paper, we analyse the ability of Integrated Rating model to anticipate potential corporate crisis. In particular, we study bankrupt companies of four European Countries (Czech Republic, Spain, Italy, France,...

A time series investigation of how the historic rates of default for corporate and retail credit exposures in three small Bulgarian banks is linked to the evolution of basic macroeconomic parameters. The result is a model which produces forecasts for probability of default based on economic outlook

In this paper we provide probability forecasts of key Turkish macro economic variables such as inflation and output growth. Some probabilistic forecasts of different scenarios associated to those variables are also calculated. The probability forecasts take different types of uncertainties...