At the request of the Minister for Climate and Energy, Paul Magnette, who is also responsible for Consumer Affairs, the NBB's Microeconomic Analysis Service conducted an investigation into the link between payment arrears for mobile telephony and arrears on loan repayments. In this inquiry,...

The purpose of this study is to examine the impact of the choice of cut-off points, sampling procedures, and the business cycle on the accuracy of bankruptcy prediction models. Misclassification can result in erroneous predictions leading to prohibitive costs to firms, investors and the economy....

This study explores whether taking into account variables for real earnings management improves specification of the default prediction model based on the Z-score methodology for Chinese listed companies. We demonstrate that the Z-score model proposed by Altman (1968) overestimates the survival...

Insolvency and Debt Restructuring have become important issues in Islamic Finance. Harvard-LSE Annual Workshop in 2013 invited analytical comments on the theme of its workshop on Insolvency and Debt Restructuring in Islamic Finance. These comments from various expert participants were invited by...

This study examines the extent to which incorporating current-period and/or cumulative real activities earnings management in default models enhances their predictability. Aiming at Altman's (1968) Z-score as well as Ohlson's (1980) O-score predictors, such adjustments help mitigate the...

As the COVID-19 pandemic adversely affects the financial markets, a better understanding of the lending dynamics of a successful marketplace is necessary under the conditions of financial distress. Using the loan book database of Mintos (Latvia) and employing logit regression method, we provide...

Using the pulled to par returns, proposed by [27] for computing historical V@R of bonds, we develop a way of extracting – at any reference date before maturity – implicit default propensities from observed bond quotes. This method is new to the literature and it has the advantage on focusing...

At the request of the Minister for Climate and Energy, Paul Magnette, who is also responsible for Consumer Affairs, the NBB's Microeconomic Analysis Service conducted an investigation into the link between payment arrears for mobile telephony and arrears on loan repayments. In this inquiry,...

We estimate a model of natural default probabilities conditional on credit ratings and macroeconomic drivers. The output is an issuer-specific expected default rate at variable horizons, which can be combined to form an expected default rate for a given portfolio of rated credits. This permits...