Seit langem befaßt sich die Kapitalmarktforschung intensiv mit den Fragen, inwieweit finanzierungstheoretische Kapitalmarktmodelle empirisch validiert werden können und von welchen Risikofaktoren Wertpapierrenditen beeinflußt werden. Daniel Rösch unterscheidet die verschiedenen Modelltypen...

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on a portfolio basis and for banks� capital requirements under the New Basel Accord. However, empirical evidence on the magnitude of correlations is rather scarce, mainly due to...

This paper evaluates the resurrection event regarding defaulted firms and incorporates observable cure events in the default prediction of SME. Due to the additional cure-related observable data, a completely new information set is applied to predict individual default and cure events. This is a...