Search Results - subject:"Default Probability"

Chronicle of a death foretold: Does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure computed by Moody's. We look at the predictive...

Persistent link: https://www.econbiz.de/10014374336

Spectral expansions for credit risk modelling with occupation times

Campolieti, Giuseppe; Kato, Hiromichi; Makarov, Roman - In: Risks : open access journal 10 (2022) 12, pp. 1-20

We study two credit risk models with occupation time and liquidation barriers: the structural model and the hybrid model with hazard rate. The defaults within the models are characterized in accordance with Chapter 7 (a liquidation process) and Chapter 11 (a reorganization process) of the U.S....

Persistent link: https://www.econbiz.de/10014230904

Crypto-coins and credit risk : modelling and forecasting their probability of death

Fantazzini, Dean - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-34

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice; alternative forecasting...

Persistent link: https://www.econbiz.de/10013370404

Chronicle of a death foretold : does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

Persistent link: https://www.econbiz.de/10013448706

Macro-financial determinants of default probability using copula : a case study of Indonesian banks

Muhajir, Maulana Harris; Six, Pierre; Ahn, Jung-Hyun - In: Bulletin of monetary economics and banking 25 (2022) 4, pp. 597-622

Persistent link: https://www.econbiz.de/10014265990

Determinants of default probability for audited and unaudited smes under stressed conditions in Zimbabwe

Matenda, Frank Ranganai; Sibanda, Mabutho - In: Economies : open access journal 10 (2022) 11, pp. 1-28

of the paper indicate that the determinants of default probability for unaudited and audited SMEs are not identical … prediction of SME default probability. We recommend that financial institutions model separately the default probability for … and loan characteristics with macroeconomic variables when designing default probability models for SMEs in order to …

Persistent link: https://www.econbiz.de/10013499489

Current and prospective estimate of counterparty risk through dynamic neural networks

Agnese, Alessio; Giribone, Pier Giuseppe; Querci, Francesca - In: Risk management magazine 17 (2022) 2, pp. 42-61

The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the calculation of such measure in the context of...

Persistent link: https://www.econbiz.de/10013501084

Chronicle of a death foretold : does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

Persistent link: https://www.econbiz.de/10013536350

The impact of corporate governance and state ownership on the default probabilities of Chinese firms

Switzer, Lorne N.; Wang, Jun; Jiang, Yuehao - In: Emerging markets review 60 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014533626

Predicting forward default probabilities of firms : a discrete-time forward hazard model with firm-specific frailty

Hwang, Ruey-Ching; Chen, Yi-Chi - In: Quantitative finance 24 (2024) 7, pp. 909-919

Persistent link: https://www.econbiz.de/10015050805