' insolvency risk, because data inconsistencies may signal firms' performance, therefore shall not be removed from analysis …

, we forecast future leverage ratios and include them in the set of default risk drivers. The analysis is done with a …

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 …

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 …

, 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 …

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 …