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Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios

Chiarella, Carl - 2012

This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...

Persistent link: https://www.econbiz.de/10013099258

Comparison of Default Probability Models : Russian Experience

Karminsky, Alexander - 2012

Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the...

Persistent link: https://www.econbiz.de/10013100257

A Binary Model Versus Discriminant Analysis to Corporate Bankruptcies for Emerging Market

Makeeva, Elena - 2012

The problem of the firm bankruptcy prediction was investigated by foreign researchers in the 1930s and it still remains relevant. Since publishing of the major Altman's work (1968), based on multiple discriminant analysis, this methodological area has been considerably changed. Taking into...

Persistent link: https://www.econbiz.de/10013100924

Can Creditors Restrict Managerial Investment Behavior in Distressed Firms?

Pryshchepa, Oksana - 2012

Shareholders in distressed firms should profit from shifting to more risky assets, but there is little empirical evidence documenting such behavior. We find that this weak evidence is consistent with creditors being somewhat able to control the investment policies of distressed firms if distress...

Persistent link: https://www.econbiz.de/10013101646

A Binary Model Versus Discriminant Analysis to Corporate Bankruptcies for Emerging Market

Makeeva, Elena - 2012

Persistent link: https://www.econbiz.de/10013104287

A Probit Model for Insolvency Risk Among Insurance Companies

de Haan, Leo - 2012

We estimate a probit model of insolvency risk, using a dataset of about 400 Dutch insurance companies during the period … insurer reduce the risk of insolvency. The model can be used to identify insurers with high insolvency risk one year ahead. It … is shown that the choice of the threshold above which an insurer is classified as having high insolvency risk, is an …

Persistent link: https://www.econbiz.de/10013104376

Why are Convertible Bonds Called Late : Is it Notice Period or the Risk of Financial Distress?

Ekkaryokkaya, Pollarat - 2010

delay (i.e. a matter of a few weeks rather than several months). An earlier, but largely untested, theory attributes the …. Consistent with this theory we find for a sample of US convertibles that: (i) the average firm delays calling its convertible …

Persistent link: https://www.econbiz.de/10013147810

Who Pulls the Plug? Theory and Evidence on Corporate Bankruptcy Decisions

Zhang, Zhipeng - 2010

We offer a model and evidence on firms' optimal bankruptcy decisions. In the model, both the borrower and bank lenders can trigger a bankruptcy filing. We show that debt composition has significant influence on corporate bankruptcy decisions. For example, firms with a small share of bank debt as...

Persistent link: https://www.econbiz.de/10013150709

How can Projects in Distress be Optimally Restructured?

Situm, Mario - 2010

This paper concentrates on the restructuring of projects in financial distress. In the first section the objectives and characteristics of project finance are shortly described. This is followed by a review of the literature concerning restructuring in distressed situation. A main condition to...

Persistent link: https://www.econbiz.de/10013152783

Comparing Models of Corporate Bankruptcy Prediction : Distance to Default vs. Z-Score

Miller, Warren - 2009

This paper examines the performance of two commonly applied bankruptcy prediction models, the accounting ratio-based Altman Z-Score model, and the structural Distance to Default model which currently underlies Morningstar's Financial Health Grade for public companies (Morningstar 2008)....

Persistent link: https://www.econbiz.de/10013156771