We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default … probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by … observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default …

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default … probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by … observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default …

paper studies the performances of the default probabilities generated from two stationaryleverage models with time …

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default … probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by … observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default …

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default … probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by … observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default …

Predicting default probabilities is important for firms and banks to operate successfully and to estimate their … propose the so called Support Vector Machine (SVM) to estimate default probabilities of German firms. Our analysis is based on …

default probabilities when PDs are included alongside the retained accounting variables. We also show that quarterly updates …

Predicting default probabilities is important for firms and banks to operate successfully and to estimate their … propose the so called Support Vector Machine (SVM) to estimate default probabilities of German firms. Our analysis is based on … SFB 649 Discussion Paper 2006-077 Estimation of Default Probabilities with Support Vector …

default probabilities of listed corporate entities in ten European countries, and the USA, covering the recent global …