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Financial distress prediction of listed companies : empirical evidence on the Vietnamese stock market

Tran Quoc Thinh; Dang Anh Tuan; Nguyen Thanh Huy; Tran … - In: Investment management and financial innovations 17 (2020) 2, pp. 377-388

Persistent link: https://www.econbiz.de/10012303237

Debt market liquidity and corporate default prediction

Wu, Deming; Zhang, Suning - In: The quarterly journal of finance 4 (2014) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10010472890

Aggregate distress risk and equity returns

Guo, Hui; Jiang, Xiaowen - In: Journal of banking & finance 133 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013257367

Financial distress and bankruptcy prediction : an appropriate model for listed firms in Vietnam

Pham Vo Ninh, Binh; Do Thanh, Trung; Duc Vo Hong - In: Economic systems 42 (2018) 4, pp. 616-624

Persistent link: https://www.econbiz.de/10012257295

Unobserved systematic risk factor and default prediction

Qi, Min; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of banking & finance 49 (2014), pp. 216-227

Persistent link: https://www.econbiz.de/10010508040

Unobservable Systematic Risk Factor and Default Prediction

Qi, Min; Xiaofei, Zhang; Zhao, Xinlei Shelly - 2022

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 …

Persistent link: https://www.econbiz.de/10013492338

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...