We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...

In this paper we build a system for determining the credit risk score and to estimate the probability of default for Romanian non-bank stock exchange intermediaries using principal component analysis applied on a selected set of financial and prudential indicators obtained from their financial...

Market-implied ratings gained importance as efficient early warnings of official credit rating migrations. We build a two-dimensional implied rating system that gathers information from both the bond and the CDS markets. The system is able to outdo each of the corresponding one-dimensional...