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structures and can track the recoveries on all instruments from the time of default to the time of resolution. We find that …
Persistent link: https://www.econbiz.de/10013147946
Persistent link: https://www.econbiz.de/10013152416
limited liability companies for the period 2010-2021. We use logistic Lasso regressions to select bankruptcy predictors from a … selection gives the best predictions of the risk of bankruptcy in firms holding high shares of the bank debt. …
Persistent link: https://www.econbiz.de/10013337991
This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default process. The major contribution to previous...
Persistent link: https://www.econbiz.de/10012419329
Credit risk is the main risk in the banking sector and is as such one of key issues for financial stability. We estimate various PD models and use them in the application to credit rating classification. Models include firm specific characteristics and macroeconomic or time effects. By linking...
Persistent link: https://www.econbiz.de/10013090960
We investigate non-financial variables for predicting bankruptcy in small and medium-sized enterprises (SMEs). The … sample of SMEs, we empirically examine the variables that predict bankruptcy over time horizons of one, two and three years … non-financial variables enhances bankruptcy predictions compared to using financial variables alone. Moreover, our results …
Persistent link: https://www.econbiz.de/10015193464
This paper proposes a credit scoring model for the empirical assessment of default risk drivers of shipping bank loans. A unique dataset, consisting of the credit portfolio of a ship-lending bank is used to estimate a logit model with two-way clustered adjusted standard errors, ensuring robust...
Persistent link: https://www.econbiz.de/10012986148
We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply capital-budgeting techniques to define the relationships that identify the default condition, and solve the...
Persistent link: https://www.econbiz.de/10013023044
In this study we theoretically simulate default risk scenarios under various economic noises. We find that firms default more quickly with stronger economic shocks but simultaneously expose higher default probabilities during their deterioration, offering traders better visibility. When the...
Persistent link: https://www.econbiz.de/10013133441
Building on the work of Sorge and Virolainen (2006), we revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the ‘Big Five' crisis in Finland in the early 1990s. Several extensions to the empirical model are considered. These extensions are then used...
Persistent link: https://www.econbiz.de/10013153601