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Pelizza, Michela; Schenk-Hoppé, Klaus Reiner - In: Journal of risk and financial management : JRFM 13 (2020) 2/31, pp. 1-14

Our paper forecasts the expected recovery rates of defaulted Italian mortgage loans backed by either residential or commercial real estate. We apply an exponential Ornstein–Uhlenbeck process to model the price dynamics at the provincial and regional level, and two haircut models to estimate the...

Persistent link: https://www.econbiz.de/10012173855

Comparison of prediction models applied in economic recession and expansion

Camska, Dagmar; Klecka, Jiri - In: Journal of risk and financial management : JRFM 13 (2020) 3/52, pp. 1-16

As a rule, the economy regularly undergoes various phases, from a recession up to expansion. This paper is focused on models predicting corporate financial distress. Its aim is to analyze impact of individual phases of the economic cycle on final scores of the prediction models. The prediction...

Persistent link: https://www.econbiz.de/10012174116

Corporate bankruptcy prediction model, a special focus on listed companies in Kenya

Ogachi, Daniel; Ndege, Richard; Gaturu, Peter; Zoltan, Zeman - In: Journal of risk and financial management : JRFM 13 (2020) 3/47, pp. 1-14

Predicting bankruptcy of companies has been a hot subject of focus for many economists. The rationale for developing and predicting the financial distress of a company is to develop a predictive model used to forecast the financial condition of a company by combining several econometric...

Persistent link: https://www.econbiz.de/10012174130

Failure prediction of Indian Banks using SMOTE, Lasso regression, bagging and boosting

Shrivastava, Santosh Kumar; Jeyanthi, P. Mary; Oberoi, … - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

Banks have a vital role in the financial system and its survival is crucial for the stability of the economy. This research paper attempts to create an efficient and appropriate predictive model using a machine learning approach for an early warning system of bank failure. This paper uses data...

Persistent link: https://www.econbiz.de/10012219373

Rethinking liquidity : a critical macro-finance view

Pape, Fabian - In: Finance and society 6 (2020) 1, pp. 67-75

This forum contribution critically rethinks the macro-financial approach to liquidity by focusing more explicitly on … its public-private hybrid dimension. To do so, it introduces the notion of a "liquidity regime": a heuristic device aimed … given time. A key insight that emerges from this approach is that the ability to make markets and access liquidity is never …

Persistent link: https://www.econbiz.de/10012222158

Do generic strategy and productivity help detect corporate retail bankruptcy risk?

Subanidja, Steph; Sri Wahyuni; Lestari, Melda; Elu, … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 21 (2020) 1, pp. 302-313

Recently, there have been several retail companies experiencing bankruptcy. Many studies on bankruptcy risk are more seen from the financial performance perspective. Studies on the risk of financial performance are good but it seems too late to detect the risk. So far, no research investigates...

Persistent link: https://www.econbiz.de/10012225246