In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close-to-close prices, the daily range incorporates all the information...

While there is an increasing interest in crypto-assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we consider a unique data set on 144 exchanges active from the first quarter of 2018 to the first quarter of 2021. We analyze the determinants of the...

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...

While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding...

In this paper, we compare different methods for computing default probabilities using a sample of banks that experienced financial distress during the 2007–2009 global financial crisis. The traditional KMV-Merton model for firm valuation, credit ratings by rating agencies and a recently...

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...

We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with exogenous predictors. Unlike existing Markov chain Monte Carlo (MCMC) and variational Bayes (VB) algorithms, our approach is not based on a structural form representation of the...

The paper studies the default probabilities of the 47 Indian firms over period of 2007 to 2013. This study uses options based method to predict the probability of default of these firms over the assessment period. We has used Black, Scholes and Merton model in this paper. The study estimates the...