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In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...
Persistent link: https://www.econbiz.de/10013159689
In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...
Persistent link: https://www.econbiz.de/10013159697
Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...
Persistent link: https://www.econbiz.de/10012321142
The paper discusses methodological topics of bankruptcy prediction modelling—unbalanced sampling, sample bias, and unbiased predictions of bankruptcy. Bankruptcy models are typically estimated with the use of non-random samples, which creates sample choice biases. We consider two types of...
Persistent link: https://www.econbiz.de/10012038732
Jahresabschlüssen von Kapitalgesellschaften abgeleitet werden können. In der aktuellen Praxis der empirischen Insolvenz- und …
Persistent link: https://www.econbiz.de/10003634014
In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...
Persistent link: https://www.econbiz.de/10003636113
In recent years, support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a...
Persistent link: https://www.econbiz.de/10012966267
We develop distress prediction models for non-financial small and medium sized enterprises (SMEs) using a dataset from eight European countries over the period 2000-2009. We examine idiosyncratic and systematic covariates and find that macro conditions and bankruptcy codes add predictive power...
Persistent link: https://www.econbiz.de/10011862221
Persistent link: https://www.econbiz.de/10012820172
consisting of an equal number of defaulted and non-defaulted firms. Out of 208 companies, 130 are used for estimation sample, and … Discriminant Analysis (MDA) and Probit techniques are employed in the estimation of Z-Score and X-Score models, whereas Logit … technique is employed in the estimation of Y-Score and the newly proposed models. The performance of all the original, re …
Persistent link: https://www.econbiz.de/10011542461