Search Results - subject:"Default Probability"

Rating migration and bond valuation : a historical interest rate and default probability term structures

Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39

Persistent link: https://www.econbiz.de/10012053529

A structural approach to default modelling with pure jump processes

Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78

Persistent link: https://www.econbiz.de/10012625981

From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations

Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10012652634

Aggregate distress risk and equity returns

Guo, Hui; Jiang, Xiaowen - In: Journal of banking & finance 133 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013257367

Firms' Default - from Prediction Accuracy to Informational Capacity of Predictors

Berent, Tomasz; Blawat, Boguslaw; Dietl, Marek; Rejman, … - 2017

Research background: Bankruptcy literature is populated with scores of (econometric) models ranging from Altman's Z-score, Ohlson's O-score, Zmijewski's probit model to k-nearest neighbors, classification trees, support vector machines, mathematical programming, evolutionary algorithms or neural...

Persistent link: https://www.econbiz.de/10012232647

Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures

Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72

Persistent link: https://www.econbiz.de/10011749658

Systemic financial sector and sovereign risks

Jin, Xisong; Nadal-De Simone, Francisco - 2017

Persistent link: https://www.econbiz.de/10011707080

Firm's default : new methodological approach and preliminary evidence from Poland

Berent, Tomasz; Bławat, Bogusław; Dietl, Marek; … - In: Equilibrium : quarterly journal of economics and … 12 (2017) 4, pp. 753-773

Persistent link: https://www.econbiz.de/10012230899

Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics 4 (2016) 3, pp. 1-31

Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility … choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure … effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non …

Persistent link: https://www.econbiz.de/10011755337

The two defaults scenario for stressing credit portfolio loss distributions

Tasche, Dirk - In: Journal of Risk and Financial Management 9 (2016) 1, pp. 1-18

The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...

Persistent link: https://www.econbiz.de/10011843266