Similar Search Results

Forecasting Bankruptcy with Incomplete Information

Xu, Xin - Volkswirtschaftliche Fakultät, … - 2013

significantly improve both in-sample model fit and out-of-sample forecasting accuracy. The improvements in forecasting accuracy are …

Persistent link: https://www.econbiz.de/10011108267

Forecasting distress in European SME portfolios

Filipe, Sara Ferreira; Grammatikos, Theoharry; Michala, … - In: Journal of banking & finance 64 (2016), pp. 112-135

Persistent link: https://www.econbiz.de/10011634271

Inference in Mixed Proportional Hazard Models with K Random Effects

Horny, Guillaume - 2010

A general formulation of Mixed Proportional Hazard models with K random effects is provided. It enables to account for a population stratified at K different levels. We then show how to approximate the partial maximum likelihood estimator using an EM algorithm. In a Monte Carlo study, the...

Persistent link: https://www.econbiz.de/10014193924

Duration of Consumer Loans and Bank Lending Policy: Dormancy Versus Default Risk

Carling, Kenneth; Jacobson, Tor; Roszbach, Kasper - 1998

Persistent link: https://www.econbiz.de/10010321360

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012

modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …-frequency processes ; trading volume ; forecasting …

Persistent link: https://www.econbiz.de/10009526607

Estimating survival times using Swiss hospital data

Kuhlmey, Florian; Minke, Matthias - 2018

We compare and evaluate two different approaches to estimate overall survival curvesfrom censored data of recurrent events: (1) standard survival time analysis, and (2) a multistate framework that explicitly estimates the mortality rate during censored periods. With both models, we estimate...

Persistent link: https://www.econbiz.de/10011869851

Duration of consumer loans and bank lending policy: dormancy versus default risk

Carling, Kenneth; Jacobson, Tor; Roszbach, Kasper - Economics Institute for Research (SIR), … - 1998

A bank that lends money to a household faces two types of risk. Most commonly mentioned is the risk of a default. Hardly ever referred to is the risk of an early redemption of the loan - leading to dormancy. We model consumer loans' transition from an active to a dormant state and estimate a...

Persistent link: https://www.econbiz.de/10005190868

Duration of Consumer Loans and Bank Lending Policy: Dormancy Versus Default Risk

Carling, Kenneth; Jacobson, Tor; Roszbach, Kasper - Sveriges Riksbank - 1998

Not available.

Persistent link: https://www.econbiz.de/10005423753

Frailty correlated default

Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; … - 2008

We analyze portfolio credit risk in light of dynamic quot;frailty,quot; by which the credit qualities of different firms depend on common unobservable time-varying default covariates. Frailty is estimated to have a large impact on estimated conditional mean default rates, above and beyond those...

Persistent link: https://www.econbiz.de/10003966209

Determinants of Corporate Default : Systematic Distress, Sectoral Distress and Credit Contagion

Wang, Tao - 2010

This paper studies the effects of systematic distress and sectoral distress in the context of default …-wide systematic distress and sectoral distress based on distance to default, which is a powerful proxy to evaluate a firm's credit … risk. I find that including such distress factors as covariates can improve the intensity model's performance to predict …

Persistent link: https://www.econbiz.de/10013139978