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Forecasting Corporate Defaults in the German Stock Market

Mertens, Richard - 2016

We estimate and test several default risk models using new and unique data on corporate defaults in the German stock market. While defaults were extremely rare events in the 1990s, they have been a characteristic feature of the German stock market since the early 2000s. We apply the structural...

Persistent link: https://www.econbiz.de/10012983935

Learning Machines Supporting Bankruptcy Prediction

Härdle, Wolfgang - 2017

In many economic applications it is desirable to make future predictions about the financial status of a company. The focus of predictions is mainly if a company will default or not. A support vector machine (SVM) is one learning method which uses historical data to establish a classification...

Persistent link: https://www.econbiz.de/10012966307

Forecasting Corporate Distress in the Asian and Pacific Region

Moro, Russ - 2017

This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a...

Persistent link: https://www.econbiz.de/10012966310

Learning machines supporting bankruptcy prediction

Härdle, Wolfgang; Moro, Rouslan; Hoffmann, Linda - 2010

Persistent link: https://www.econbiz.de/10003973650

Forecasting corporate distress in the Asian and Pacific region

Moro, Russ; Härdle, Wolfgang; Aliakbari, Saeideh; … - 2011

Persistent link: https://www.econbiz.de/10009125559

Default Risk in Corporate Yield Spreads

Dionne, Georges - 2010

An important research question examined in the credit risk literature focuses on the proportion of corporate yield spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the computation of transition and default probabilities obtained...

Persistent link: https://www.econbiz.de/10012717692

Increased Creditor Protection in Bankruptcy and Trade Credit : Evidence from the 2005 BAPCPA

Ge, Wenxia - 2018

We examine whether the increased creditor protection under the 2005 Bankruptcy Abuse Prevention and Consumer Protection Act (BAPCPA) affects suppliers' provision of trade credit to their customers with high default risk. Employing a difference-in-differences analysis for a sample of U.S. public...

Persistent link: https://www.econbiz.de/10012931267

How large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model

Elkamhi, Redouane - 2020

We estimate the costs of financial distress prior to default (pre-default costs) separately from the loss incurred at default (the loss given default) using a dynamic trade-off model of capital structure. We document that pre-default costs are on average equal to 6.5% of firm value per year. We...

Persistent link: https://www.econbiz.de/10012839730

Altman’s Z-Score Models of Predicting Corporate Distress : Evidence from the Emerging Sri Lankan Stock Market

Samarakoon, Lalith P. - 2010

This study investigates the ability of three versions of Altman's Z-Score model (Z, Z', and Z”) of distress prediction developed in the U.S. to predict the corporate distress in the emerging market of Sri Lanka. The results show that these models have a remarkable degree of accuracy in...

Persistent link: https://www.econbiz.de/10013152873

Ownership Structure, Revenue Diversification and Insolvency Risk in European Banks

Sanya, Sarah - 2011

, an insight into how the ownership structure of a bank affects investment decisions, performance and ultimately insolvency … risk - the focus of this paper - is crucial. Our results show revenue diversification reduces insolvency risk in banks with … the impact of the latter on insolvency risk in banks. The results also have important policy implications for regulators …

Persistent link: https://www.econbiz.de/10013128385