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Ozdagli, Ali - 2010

Fama and French (1992) suggest that the positive value premium results from risk of financial distress. However, recent empirical research has found that financially distressed firms have lower stock returns, using empirical estimates of default probabilities. This paper reconciles the positive...

Persistent link: https://www.econbiz.de/10008778727

A simple model of the firm life cycle

Schenk-Hoppé, Klaus Reiner; Schweri, Urs - 2010

The optimal investment-dividend policy of a financially constrained firm whose earnings are subject to additive shocks is shown to exhibit several stylized economic and financial features of the firm life cycle which usually require considerably more complex models. This parsimonious model...

Persistent link: https://www.econbiz.de/10008797762

Default forecasting considering correlation between business and credit cycles

Kanno, Masayasu - In: Journal of applied finance & banking 2 (2012) 5, pp. 275-305

Bank’s major approach in her internal rating system is credit scoring valuation which focused on corporates’ idiosyncratic risks and based on their financial indexes. Hence, an influence on corporates’ credit risks by business variation is not considered in her system. We model the effect...

Persistent link: https://www.econbiz.de/10009673680

Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2014

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

Persistent link: https://www.econbiz.de/10010471968

Penalties and optimality in financial contracts : taking stock

Robe, Michel A. (contributor); … - 2006

A popular view of limited liability in financial contracting is that it is the result of societal preferences agnainst excessive penalties. the view of most financial economists is instead that limited liability emerged as an optimal institution when, in the absence of a clear limit on economic...

Persistent link: https://www.econbiz.de/10003324303

The prediction of corporate bankruptcy and Czech economy's financial stability through logit analysis

Jakubík, Petr (contributor); Teplý, Petr (contributor) - 2008

This article presents a financial scoring model estimated on Czech corporate accounting data. Seven financial indicators capable of explaining business failure at a 1-year prediction horizon are identified. Using the model estimated in this way, an aggregate indicator of the creditworthiness of...

Persistent link: https://www.econbiz.de/10003755238

Kombinierte Liquiditäts- und Solvenzkennzahlen und ein darauf basierendes Insolvenzprognosemodell für deutsche GmbHs

Perederiy, Volodymyr (contributor) - 2007

Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in...

Persistent link: https://www.econbiz.de/10003635001

Beyond Financial Ratios : A Novel Approach to Bankruptcy Predictions for Indian Firms

Bonelli, Marco I. - 2023

The purpose of this study was to develop a new bankruptcy prediction framework that considers a wider range of factors beyond traditional financial ratios and improve the efficiency and accuracy of bankruptcy prediction models in the Indian ecosystem. The financial statements of three Indian...

Persistent link: https://www.econbiz.de/10014349725

Are Female CEOs Associated With Lower Insolvency Risk? Evidence From the U.S. Property-Casualty Insurance Industry

Cheng, Jiang; Li, Jing - 2023

This paper investigates the relationship between female CEOs and insolvency risk of U.S. property-casualty insurance … companies. We show that female CEOs are associated with lower insurer insolvency propensity, higher z-score, and lower standard … difference-in-difference approach. Furthermore, we find that the impact of female CEOs on insurer insolvency risk is moderated by …

Persistent link: https://www.econbiz.de/10014349797

Contingent Claims Valuation when Capital Structure Includes Options Liability

Episcopos, Athanasios - 2023

The paper shows how the traditional credit model based on contingent claims analysis can be adjusted when the capital structure includes a short position in a call or put option. The stochastic features of the asset underlying the option introduce additional risk elements into the analysis of...

Persistent link: https://www.econbiz.de/10014350667