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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...
Persistent link: https://www.econbiz.de/10012613371
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A review of stock market prediction using computational methods
Diakoulakis, I. E.; Kuluriōtēs, Dēmētrios; Emiris, D. M. - In: Computational methods in decision-making, economics and …, (pp. 379-403). 2010
Persistent link: https://www.econbiz.de/10009153074
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Identifying Bulls and bears? : a bibliometric review of applying artificial intelligence innovations for stock market prediction
Chopra, Ritika; Sharma, Gagan Deep; Pereira, Vijay - In: Technovation : an international journal of technical … 135 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014631682
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A framework for analysing the impact of economic variations on return on equity
Kira, Mohamed Ihab - In: International journal of managerial and financial accounting 6 (2014) 2, pp. 146-155
Persistent link: https://www.econbiz.de/10010483051
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Analyse von Crashszenarien
Kneidl, Manfred; Weigl, Georg - 1988
Persistent link: https://www.econbiz.de/10000734869
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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...
Persistent link: https://www.econbiz.de/10013222017
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The benefits of specific risk-factor disclosures
Hope, Ole-Kristian; Hu, Danqi; Lu, Hai - In: Review of accounting studies 21 (2016) 4, pp. 1005-1045
Persistent link: https://www.econbiz.de/10011613029
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Can analysts assess fundamental risk and valuation uncertainty? An empirical analysis of scenario-based value estimates
Joos, Peter; Piotroski, Joseph D.; Srinivasan, Suraj - In: Journal of financial economics 121 (2016) 3, pp. 645-663
Persistent link: https://www.econbiz.de/10011590869
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Can analysts assess fundamental risk and valuation uncertainty? : an empirical analysis of scenario-based value estimates
Joos, Peter; Piotroski, Joseph D.; Srinivasan, Suraj - 2015
We use a dataset of sell-side analysts' scenario-based equity valuation estimates to examine whether analysts can assess the state-contingent risk surrounding a firm's fundamental value. We find that the spread in analysts' scenario-based valuations captures the riskiness of operations and...
Persistent link: https://www.econbiz.de/10011864659
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Scenario Analysis with the DD-PD Mapping Approach : Stock Market Shocks and U.S. Corporate Default Risk
Chan-Lau, Jorge A. - 2022
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...
Persistent link: https://www.econbiz.de/10013300844