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 …

Purpose: Previous research on the relationship between a firm’s distress risk and future stock returns produces … risk leads to positive rewards, while unsystematic distress risk leads to low stock returns. In addition, this study … intends to elucidate the factors of systematic distress risk and unsystematic distress risk, respectively. In this way, this …

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic … of financial distressful events. In a second stage of the analysis, we find that reduced form Portfolio Credit Risk … Basel 2. Moreover, the direct method of forecasting gives the smallest Portfolio Credit Risk measures. Finally, when using …

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic … of financial distressful events. In a second stage of the analysis, we find that reduced form Portfolio Credit Risk … Basel 2. Moreover, the direct method of forecasting gives the smallest Portfolio Credit Risk measures. Finally, when using …

assessments of default risk. We find that these frictions decrease the usefulness of equity-market variables for identifying … improves the accuracy of default-risk assessments in the presence of pessimistic-trading frictions, particularly where a …-trading frictions is a reduction in the accuracy of default-risk assessments based on publicly available sources of information. Using …