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Alarm System for Credit Losses Impairment

Salhi, Yahia; Thérond, Pierre-Emmanuel - HAL - 2014

The recent fi nancial crisis has lead the IASB to settle new reporting standards for fi nancial instruments. The extended ability to measure some debt instruments at amortized cost is associated with a new impairment losses mechanism: Expected Credit Losses. In this paper, after a brief...

Persistent link: https://www.econbiz.de/10010899862

Screening Creditworthiness of SME's: The Case of Small Business Assistance in Turkey

Karan, Mehmet Baha; Caner, Selcuk - In: Multinational Finance Journal 16 (2012) 1-2, pp. 1-20

obtained by KOSGEB. We find that efficient and internationally competitive SMEs are unlikely to default. Firms with high …

Persistent link: https://www.econbiz.de/10010934076

Developing the model of the credit risk assessment of the commercial bank credit loans portfolio

Pustovalova, Tatiana A. - Graduate School of Management, St. Petersburg State … - 2010

Over the past decade, commercial banks have devoted many resources to developing internal models to better quantify their financial risks and assign economic capital. These efforts have been recognized and encouraged by bank regulators. Recently, banks have extended these efforts into the field...

Persistent link: https://www.econbiz.de/10008603165

Modelling default transitions in the UK mortgage market

McCann, Fergal - Central Bank of Ireland - 2014

transitions-based model of mortgage default. The estimation departs from cross-sectional methods typically used in mortgage … default models, in that the transition both into and out of mortgage default is predicted. Housing equity, regional … unemployment and loan interest rates are found to impact the probability of transition into default, while housing equity, interest …

Persistent link: https://www.econbiz.de/10011082811

The valuation of corporate liabilities: Theory and tests

Ericsson, Jan; Reneby, Joel - 2001

component on top of the default spread structural models are designed to capture. …

Persistent link: https://www.econbiz.de/10010281391

On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

RENAULT, Olivier; SCAILLET, Olivier - Swiss Finance Institute - 2003

In this paper we analyse recovery rates on defaulted bonds using the Standard and Poor’s/PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 and 1), we must rely on nonstandard econometric techniques. The recovery rate density is estimated...

Persistent link: https://www.econbiz.de/10005771772

Coordination Risk and the Price of Debt

Morris, Stephen; Shin, Hyun Song - Cowles Foundation for Research in Economics, Yale University - 1999

Creditors of a distressed borrower face a coordination problem. Even if the fundamentals are sound, fear of premature foreclosure by others may lead to pre-emptive action, undermining the project. Recognition of this problem lies behind corporate bankruptcy provisions across the world, and it...

Persistent link: https://www.econbiz.de/10005593240

The Valuation of Corporate Liabilities: Theory and Tests

Reneby, Joel; Ericsson, Jan - Economics Institute for Research (SIR), … - 2001

component on top of the default spread structural models are designed to capture. …

Persistent link: https://www.econbiz.de/10005423799

Optimal capital structure and endogenous default

Hilberink, Bianca; Rogers, L.C.G. - In: Finance and Stochastics 6 (2002) 2, pp. 237-263

In a sequence of fascinating papers, Leland and Leland and Toft have investigated various properties of the debt and credit of a firm which keeps a constant profile of debt and chooses its bankruptcy level endogenously, to maximise the value of the equity. One feature of these papers is that the...

Persistent link: https://www.econbiz.de/10005390699

Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis

Byström, Hans - Nationalekonomiska Institutionen, Ekonomihögskolan - 2003

The growing interest in management of credit risk and estimation ofdefault probabilities has given rise to a range of more or lesselaborate credit risk models. Hall and Miles (1990) suggests an approachof estimating failure probabilities based solely on stock market prices.The approach has the...

Persistent link: https://www.econbiz.de/10005190595