Showing 1 - 10 of 17,831
' insolvency risk, because data inconsistencies may signal firms' performance, therefore shall not be removed from analysis …
Persistent link: https://www.econbiz.de/10013147032
, we forecast future leverage ratios and include them in the set of default risk drivers. The analysis is done with a …
Persistent link: https://www.econbiz.de/10003828659
Persistent link: https://www.econbiz.de/10011349544
Persistent link: https://www.econbiz.de/10012113064
Persistent link: https://www.econbiz.de/10014517312
variable in corporate failure prediction and also as a systemic risk measure. First, when analyzing the CDS spreads, I find … the out-of-sample performance of centrality as a systemic risk measure, I find that centrality distinguish correctly the …
Persistent link: https://www.econbiz.de/10013021792
We examine the impact of the unobservable systematic risk factor on default prediction model performance. We find that … including the unobservable systematic risk factor might help improve predictive accuracy, but it might not help improve rank … ordering of firms by default risk. Rank ordering is mainly driven by firm-level variables, while predictive accuracy is …
Persistent link: https://www.econbiz.de/10013492338
, Hilscher, and Szilagyi, 2008) and the positive distress risk premium-return relation (Friewald, Wagner, and Zechner, 2014). We … market risk premium in distressed firms; (ii) negative covariance generates low stock returns and negative alphas among those … firms; and (iii) firms with a lower distress risk premium endogenously choose higher leverage, so they are more likely to …
Persistent link: https://www.econbiz.de/10012065129
traditional forecasting models. The presented studies focus on the assessment of credit risk classes and on determination of the … differences in risk class migrations between non-bankrupt enterprises and future insolvent firms. For this purpose, the author has … developed a model of a Kohonen artificial neural network to determine six different classes of risk. Long-term analysis horizon …
Persistent link: https://www.econbiz.de/10012270447
The modeling of wind speed is a traditional topic in meteorological researches where the main interest is on the short term forecast of wind speed intensity and direction. More recently this theme has received some interest in the quantitative finance literature for its relations with the...
Persistent link: https://www.econbiz.de/10013153357