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Sovereign default forecasting in the era of the COVID-19 crisis
Kristóf, Tamás - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-24
-homogeneous Markov chain method as the basis for a COVID-19-related sovereign default risk forecast model. It demonstrates the estimation …
Persistent link: https://www.econbiz.de/10012792441
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Beating market expectations and the pricing of firms' probability of default
Melgarejo, Mauricio - In: Journal of contemporary accounting & economics 14 (2018) 1, pp. 41-51
Persistent link: https://www.econbiz.de/10011855135
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Default dependence : the equity default relationship
Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...
Persistent link: https://www.econbiz.de/10003641322
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Advances in credit risk modelling and corporate bankruptcy prediction
Jones, Stewart (contributor); Hensher, David A. (contributor) - 2008 - 1. publ.
Persistent link: https://www.econbiz.de/10003692809
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Comparing the performance of market-based and accounting-based bankruptcy prediction models
Agarwal, Vineet; Taffler, Richard J. - In: Journal of banking & finance 32 (2008) 8, pp. 1541-1551
Persistent link: https://www.econbiz.de/10003749343
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An evaluation of open- and closed-form distress prediction models : the nested logit and latent class models
Jones, Stewart; Hensher, David A. - In: Advances in credit risk modelling and corporate …, (pp. 80-113). 2008
Persistent link: https://www.econbiz.de/10003751492
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Management Earnings Forecasts and Financial Distress by Credit Ratings
Man, Chi Keung - 2017
Persistent link: https://www.econbiz.de/10012951830
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Management Earnings Forecasts and Financial Distress by Credit Ratings
Man, Chi Keung - 2017
Persistent link: https://www.econbiz.de/10012971270
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Bankruptcy, credit risk, and high yield junk bonds
Altman, Edward I. - 2002
Persistent link: https://www.econbiz.de/10004748902
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Analyst distance and credit rating consistency
Altdörfer, Marc; Güttler, André; Löffler, Gunter - In: Journal of international money and finance 143 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014551347