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Impact of mortgage soft information in loan pricing on default prediction using machine learning

Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - In: International review of finance : the official journal … 23 (2023) 1, pp. 158-186

Persistent link: https://www.econbiz.de/10014251350

A general framework for the benchmark pricing in a fully collateralized market

Fuji, Masaaki; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10011587747

Credit spreads with jump risks and stationary leverage ratio

Kim, Hwa-sung - In: Asia-Pacific journal of financial studies 39 (2010) 1, pp. 53-69

Persistent link: https://www.econbiz.de/10009315272

Unemployment and credit risk

Bai, Hang - In: Journal of financial economics 142 (2021) 1, pp. 127-145

Persistent link: https://www.econbiz.de/10012650661

News, sovereign debt maturity, and default risk

Dvorkin, Maximiliano A.; Sánchez, Juan M.; Sapriza, Horacio - In: Journal of international economics 126 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012631513

The default and liquidity premia of corporate bonds : evidence from the trade reporting and compliance engine

Ahn, Yongkil - In: Applied economics letters 28 (2021) 15, pp. 1271-1276

Persistent link: https://www.econbiz.de/10012609650

Liquidity risk of corporate bond returns : conditional approach

Acharya, Viral V.; Amihud, Yakov; Bharath, Sreedhar T. - In: Journal of financial economics 110 (2013) 2, pp. 358-386

Persistent link: https://www.econbiz.de/10010208670

Sovereign bond spreads and credit sensitivity

Schefer, Ricardo - 2020

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread is used to derive expected payments, dependent on...

Persistent link: https://www.econbiz.de/10012307696

Industry competition, credit spreads, and levered equity returns

Corhay, Alexandre - 2017

quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms … profit opportunities and increases default risk for debtholders. Equityholders are protected against default risk due to the …

Persistent link: https://www.econbiz.de/10011721599

News, sovereign debt maturity, and default risk

Dvorkin, Maximiliano A.; Sanchez, Juan M.; Sapriza, Horacio - 2018

productivity. A quantitative model of news and sovereign debt default with endogenous maturity choice generates impulse responses …-term debt does not shield the country from bad news shocks, and it may even exacerbate default risk. Finally, an increase in the …

Persistent link: https://www.econbiz.de/10011950496

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