In this paper I investigate the relation between accounting based variables and bankruptcy risk, using information available for non-listed firms. I use a large sample of firms and find that many of the variables suggested earlier in the literature seem to provide little explanatory power....

The purpose of this study is to examine the impact of the choice of cut-off points, sampling procedures, and the business cycle on the accuracy of bankruptcy prediction models. Misclassification can result in erroneous predictions leading to prohibitive costs to firms, investors and the economy....

Microprudential regulation is an integral part of the banking supervisory framework. By analysing the link between economic conditions and the survival of small cooperative banks, this study sheds some further light on the importance of the economic environment once we assess individual bank...

In this paper we investigate what happens to firms after they default on their bank loans. We approach this question by establishing a set of stylized facts concerning the evolution of default and its resolution, focusing on access to credit after default. Using a unique dataset from Portugal,...

Understanding why some firms default, while others do not, is an important issue for the assessment of financial stability. In this domain, it may be interesting to understand if credit risk is driven mostly by idiosyncratic firm characteristics or by systematic factors, which simultaneously...

In this paper we empirically study interactions between real activity and the financial stance. Using aggregate data we examine a number of candidate measures of the financial stance of the economy. We find strong evidence for substantial spillover effects on aggregate activity from our...

This paper examines the determinants of the length of time high yield debt issuing companies spend in Chapter 11 bankruptcy. Through a model of the instantaneous probability hazard rate of a firm's emergence from Chapter 11 we find that the length of Chapter 11 bankruptcy is significantly...

Using a hazard model, we examine secular changes in the ability of financial statement data to predict bankruptcy over a forty-year period. We identify three trends in financial reporting that could influence predictive ability with respect to bankruptcy: the increase in FASB standards, many of...

In this paper we develop a novel bank failure prediction approach that uses the output of a multiperiod logit model to assess banks' risk situations and then estimates a survival time model for the subset of at-risk (quot;illquot;) banks. Our empirical analysis reveals that this two-step...

This paper investigates some common determinants of default probability changes of individual firms using Standard amp; Poor's ratings database. We analyze and quantify the responses of hazard rates to changes in various economic variables, namely financial markets, business cycle and credit...