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Estimation of Regression Discontinuity and Kink Designs with Multiple Running Variables

Cheng, Alden - 2023

In regression discontinuity designs with multiple running variables (MRD), units are assigned different treatments based on whether their values on several observed running variables exceed known thresholds. In such designs, applied work commonly analyzes each running variable separately,...

Persistent link: https://www.econbiz.de/10014346291

Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - School of Economics and Management, University of Aarhus - 2015

We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn...

Persistent link: https://www.econbiz.de/10011170253

Stress testing German banks in a downturn in the automobile industry

Düllmann, Klaus; Erdelmeier, Martin - 2009

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...

Persistent link: https://www.econbiz.de/10003813026

IFRS 9 Expected Loss : A Model Proposal for Estimating the Probability of Default for Non-Rated Companies

Delgado-Vaquero, David - 2019

Under the IFRS 9 impairment model, entities must estimate the PD (Probability of Default) for all financial assets (and other elements) not measured at fair value through profit or loss. There are several methodologies for estimating this PD from market or historical information. However, in...

Persistent link: https://www.econbiz.de/10012889378

Explaining Aggregated Recovery Rates

Höcht, Stephan - 2014

In this article, the dependence of aggregated recovery rates on various explanatory variables is examined. This study is based on a unique dataset covering almost 40000 individual resolved defaulted loans and using a consistent definition of default and recovery over different jurisdictions....

Persistent link: https://www.econbiz.de/10013053256

Systematic Risk in Recovery Rates : An Empirical Analysis of Us Corporate Credit Exposures

Düllmann, Klaus - 2016

This paper presents an analytical and empirical analysis of a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the recovery rates also depend on this risk factor and follow a...

Persistent link: https://www.econbiz.de/10012989341

Default risk calculation based on predictor selection for the Southeast Asian industry

Härdle, Wolfgang; Prastyo, Dedy Dwi - 2013

Probability of default prediction is one of the important tasks of rating agencies as well as of banks and other financial companies to measure the default risk of their counterparties. Knowing predictors that significantly contribute to default prediction provides a better insight into...

Persistent link: https://www.econbiz.de/10009779289

Ein Vergleich des binären Logit-Modells mit künstlichen neuronalen Netzen zur Insolvenzprognose anhand relativer Bilanzkennzahlen

Franken, Ronald (contributor) - 2007

evaluiert. -- Insolvenzprognose ; externe Bilanzanalyse ; Künstliche Neuronale Netze : Binäres Logit-Modell ; logistische … die sog. externe Bilanzanalyse anhand verschiedener relativer Kennzahlen(-systeme) dar, welche aus den veröffentlichten … anhand relativer Bilanzkennzahlen entwickelt und mit den Ergebnissen der logistischen Regressionsanalyse verglichen und …

Persistent link: https://www.econbiz.de/10003634014

Comparison of Parametric, Semi-Parametric and Non-Parametric Methods in Bankruptcy Prediction

Brezigar Masten, Arjana - 2007

This paper compares parametric, semi-parametric and non-parametric methods in prediction of bankruptcy. Special care is devoted to the effect of choice-based sampling. The choice of the sampling and estimation method lead to a similar trade off. Using choice-based sampling and logit model leads...

Persistent link: https://www.econbiz.de/10012730637

Modeling reasons for Russian bank license withdrawal: Unaccounted factors

Peresetsky, Анатолий Пересецкий - In: Applied Econometrics 30 (2013) 2, pp. 49-64

In the paper we analyze the reasons of Russian bank license withdrawal, formulated in orders of CB RF at the period 2005.2–2008.4. During this period, after establishing deposit insurance system in Russia, two main reasons were «money laundering» and «financial insolvency». We design...

Persistent link: https://www.econbiz.de/10010992072