This paper addresses the theoretical foundations of corporate failure prediction, using the neo-classical theory of … compared to the multitude of theory-less empirical studies and a useful alternative to the default theory …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

correlations with risk factors. We present two parsimonious alternatives to the HVZ model: the EP model based on persistence in … and risk factors. We recommend that future research use the RI model or the EP model to generate earnings forecasts …

correlations with risk factors. We present two parsimonious alternatives to the HVZ model: the EP model based on persistence in … and risk factors. We recommend that future research use the RI model or the EP model to generate earnings forecasts …

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …

In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify … the pro-cyclicality of the current way financial institutions measure their risk. Analysing 11 stock indices, we show that …

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