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Estimating Probability of Default and Comparing It to Credit Rating Classification by Banks

Volk, Matjaz - 2013

Credit risk is the main risk in the banking sector and is as such one of key issues for financial stability. We estimate various PD models and use them in the application to credit rating classification. Models include firm specific characteristics and macroeconomic or time effects. By linking...

Persistent link: https://www.econbiz.de/10013090960

An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default

Jacobs, Michael - 2010

Persistent link: https://www.econbiz.de/10013152416

Local logit regression for loan recovery rate

Sopitpongstorn, Nithi; Silvapulle, Paramsothy; Gao, Jiti; … - In: Journal of banking & finance 126 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012820172

Systematic Risk in Recovery Rates : An Empirical Analysis of Us Corporate Credit Exposures

Düllmann, Klaus - 2016

extracted from a bond and loan database of Standard&Poor's. We estimate the correlation between recovery rates and the … dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the … results of the maximum-likelihood estimation method we also employ a method-of-moments. Our empirical results indicate that …

Persistent link: https://www.econbiz.de/10012989341

Refinance and Mortgage Default : A Regression Discontinuity Analysis of HARP's Impact on Default Rates

Karamon, Kadiri - 2016

This paper examines the impact of refinancing on mortgage defaults based on an empirical investigation of the Home Affordable Refinance Program (HARP). We study a unique dataset from Freddie Mac which includes loans funded right before and after the HARP eligibility cutoff date, an exogenous...

Persistent link: https://www.econbiz.de/10012989364

Refinance and Mortgage Default : A Regression Discontinuity Analysis of Harp's Impact on Default Rates

Karamon, Kadiri - 2018

Persistent link: https://www.econbiz.de/10012931993

Corporate default risk modeling under distressed economic and financial conditions in a developing economy

Matenda, Frank Ranganai; Sibanda, Mabutho; Chikodza, Eriyoti - In: The journal of credit risk : published quarterly by … 17 (2021) 1, pp. 89-115

Persistent link: https://www.econbiz.de/10012519965

Concentration risk indicator

Hadzisalihovic, Anis; Pruckner, Johann; Kern, Andreas - In: Inventi impact: emerging economies (2019) 4, pp. 250-263

Persistent link: https://www.econbiz.de/10012642470

Asymmetric effects of noise in Merton default risk model : evidence from emerging Asia

Omar, Arti; Prasanna, P. Krishna - In: Pacific-Basin finance journal 65 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013252819

Subprime credit, idiosyncratic risk, and foreclosures

Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 175-189

Persistent link: https://www.econbiz.de/10012297241