Search Results - subject:"Default Probability"

Combining structural models and accounting‐based models for measuring credit risk in real estate companies

Samuel Baixauli, J.; Alvarez, Susana; Módica, Antonina - In: International Journal of Managerial Finance 8 (2012) 1, pp. 73-95

Purpose – The purpose of this paper is to, first, analyse to what extent the default probability based on structural … including the default probability from structural models as explanatory variable, in addition to accounting ratios, in order to … models which will consider the default probability implicit in market information. …

Persistent link: https://www.econbiz.de/10014785344

Modelling the U.S. sovereign credit rating

Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2012

A methodology for generating sovereign credit ratings based on macroeconomic theory is proposed. This is applied to quarterly U.S. data from 1970 to 2011. Over this period the official credit rating of U.S. Treasury securities has been of the highest quality. In contrast, the model-based measure...

Persistent link: https://www.econbiz.de/10011084723

Toward a bottom-up approach to assessing sovereign default risk: an update

Altman, Edward; Rijken, Herbert - In: Journal of Financial Transformation 34 (2012), pp. 19-29

We propose a totally new approach toward assessing sovereign risk by examining rigorously the health and aggregate default risk of a nation’s private corporate sector. Models such as our new Z-Metrics™ approach can be utilized to measure the median probability of default of the non-financial...

Persistent link: https://www.econbiz.de/10010991636

Default probability of a captive credit bank with government capital injections: A capped barrier option approach

Chang, Chuen-Ping - In: Economic Modelling 29 (2012) 6, pp. 2444-2450

and determine the loan-risk default probability in equity returns of the captive bank under government capital injections … of government capital injection decreases the default probability in equity returns of the captive bank. Floorplan or …

Persistent link: https://www.econbiz.de/10011048882

Derivatives listing strategy

Karathanasis, George; Sogiakas, Vasilios; Toudas, Kenellos - In: Journal of Financial Regulation and Compliance 20 (2012) 3, pp. 307-321

the estimation of the volatility, the default probability and the corporate governance provision index for each candidate …

Persistent link: https://www.econbiz.de/10014870220

Credit risk assessment and the impact of the New Basel Capital Accord on small and medium‐sized enterprises : An empirical analysis

Matias Gama, Ana Paula; Susana Amaral Geraldes, Helena - In: Management Research Review 35 (2012) 8, pp. 727-749

Purpose – The purpose of this paper is to develop a credit‐scoring model as an aggregate valuation procedure that integrates various financial and non‐financial factors and thereby improves small to medium‐sized enterprises' (SMEs) knowledge about their default risk....

Persistent link: https://www.econbiz.de/10014952158

How to Measure the Credit Risk of Housing Loans: Evidence from a Taiwanese Bank

Lu, Su-Lien; Wang, Ming-Chun - In: Emerging Markets Finance and Trade 48 (2012) 7, pp. 122-138

study estimates four risk factors emphasized by the New Basel Capital Accord, including default probability, loss given …This paper proposes a formal methodology to gauge the credit risk of housing loans. It estimates the default … probability and recovery rate endogenously, which is more detailed than previous studies. Using data from a bank in Taiwan, this …

Persistent link: https://www.econbiz.de/10010612814

Derivatives listing strategy

Karathanasis, George; Sogiakas, Vasilios; Toudas, Kenellos - In: Journal of Financial Regulation and Compliance 20 (2012) July, pp. 307-321

the estimation of the volatility, the default probability and the corporate governance provision index for each candidate …

Persistent link: https://www.econbiz.de/10010556222

Book-to-market equity, operating risk, and asset correlations: Implications for Basel capital requirement

Lee, Shih-Cheng; Lin, Chien-Ting - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 973-989

/ME is negatively related to asset correlations after controlling for firm size, default probability, and industry effects …

Persistent link: https://www.econbiz.de/10010702754

Bank stability and market discipline: The effect of contingent capital on risk taking and default probability

Hilscher, Jens; Raviv, Alon - Department of Economics, International Business School, … - 2012

barrier op- tions and present closed-form solutions for their prices. We quantify the reduction in default probability …

Persistent link: https://www.econbiz.de/10010755837