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Persistent link: https://www.econbiz.de/10014465243
A financial market can be expressed in a network structure where the stocks resides as nodes and the links account for returns correlation. Centrality measure in the financial network structure captures firms' embeddedness and connectivity in the capital market structure. This paper investigates...
Persistent link: https://www.econbiz.de/10013021792
Default correlation is a critical concept in risk management for fixed income investment, bank management, and insurance industry, working capital management, among many. We extend the Leland-Toft term structure model into a two-firm environment and predict the default correlation between two...
Persistent link: https://www.econbiz.de/10013090295
We analyse the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft information provide for a variation in annual...
Persistent link: https://www.econbiz.de/10014236050
We investigate non-financial variables for predicting bankruptcy in small and medium-sized enterprises (SMEs). The variables encompass management, board and ownership structures and are sourced from universally accessible information, rendering them available to all stakeholders and allowing for...
Persistent link: https://www.econbiz.de/10015193464
This paper offers a joint estimation approach for forecasting probabilities of default and loss rates given default in the presence of selection. The approach accommodates fixed and random risk factors. An empirical analysis identifies bond ratings, borrower characteristics and macroeconomic...
Persistent link: https://www.econbiz.de/10013034788
Reviews on financial distress prediction models indicate that these techniques give highly reliable estimates of probabilities of default (PDs) and loss given default (LGD) only for relatively short horizons, rarely beyond two years. Major stakeholders, e.g. investors and bank risk and capital...
Persistent link: https://www.econbiz.de/10013014313
We assess the use of bank loan information in predicting the timing to default. We use unique data on defaults in small and medium enterprises maintained by the Central Bank of Portugal which includes financial accounting and macroeconomic indicators, as well as non-financial information. The...
Persistent link: https://www.econbiz.de/10013088476
insolvency prediction in an attempt to provide the art with a theoretical methodology that has been lacking in the past. Limited … option model for insolvency prediction and find that, despite its simple formulation, it performs favourably compared …
Persistent link: https://www.econbiz.de/10013079540
A general consensus in the literature is that financial analysts make optimistic forecasts. That is, they tend to underreact to negative but overreact to positive information. In this study, we invoke this idea to provide an explanation for the distress risk puzzle, the phenomenon that high...
Persistent link: https://www.econbiz.de/10013251968