This paper aims to model the probability of a borrower violating an asset value covenant in a shipping bank loan … on the largest dataset of shipping bank loans examined to date. Results reveal that the initial amount of loan over the …

This paper describes simple econometric methods for the analysis of credit risk and applies them to a data set obtained … from credit files taken from six large German universal banks. The paper focuses on (i) binary and ordered probit …/logit models which enable the credit analyst to quantify the default probability of an individual credit, and (ii) on duration …