This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated stress data, we build ideal conditions to assess the adequacy of the metrics in different stress scenarios. In addition, we empirically analyze the evaluation metrics...

This paper provides empirical evidence of the impact of trading noise on default risk estimation. Using a large sample of 12,877 US stocks from Nov 1991 to Dec 2014, it is found that adjusting for trading noise has material impact on firms' distance-to-default (DTD) estimation, in terms of both...

I analyze the repayment decisions of firms with multiple loans that, for liquidity constraints or strategic reasons, stop making payments in some but not all their loans. Using a sample of commercial loans from Colombia over the period 2002:03-2012:06, I find that firms are less likely to stop...

I analyze the repayment decisions of firms with multiple loans that, for liquidity constraints or strategic reasons, stop making payments in some but not all their loans. Using a sample of commercial loans from Colombia over the period 2002:03-2012:06, I find that firms are less likely to stop...

This empirical examination of the effect of rollover risk on default risk uses a database of U.S. industrial firms during 1986-2011. This article represents the most comprehensive empirical study to date to support the existence of a rollover risk effect on default risk. This paper investigates...

We study the effect of rollover risk on the risk of default using a comprehensive database of U.S. industrial firms during 1986–2013 This article is the most thoroughgoing empirical research to date to support the existence of a rollover risk effect on the risk of default. A one standard...

We estimate term structures of default probabilities for private firms using data consisting of 1,759 default events from 29,894 firms between 1999 and 2014. Each firm's default likelihood is characterized by a forward intensity model employing macro risk factors and firm-specific attributes. As...

Over the past decade, as a result of rapid growth of the loan portfolio and the financial crisis, importance of credit risk analysis has increased worldwide. After the global financial crisis, more attention has been paid to loan granting process by various researchers and financial market...