We develop a framework to simultaneously compute the unobservable parameters underlying the structural-parametric models for bankruptcy prediction. More specifically, we compute the unobservable parameters such as, asset value and asset volatility, through learning by embedding in the structural...

In this paper we examine the evolution of the market-to-book ratio of European banks before, during and after the Global Financial Crisis (GFC) and the Euro sovereign debt crisis. We employ a panel of 215 listed European banks, which we analyse over the period 2006-2020. Clearly, their...

In this paper, we estimate coefficients of bankruptcy forecasting models, such as logistic and neural network models, by maximizing their discriminatory power as measured by the Area Under Receiver Operating Characteristics (AUROC) curve. A method is introduced and compared with traditional...