Search Results - subject:"Default classification"

Comparison of default probability models: Russian experience

Karminsky, Alexander; Kostrov, Alexander; Murzenkov, Taras - National Research University Higher School of Economics - 2012

main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian …

Persistent link: https://www.econbiz.de/10010720486

The probability of default in Russian banking

Karminsky, Alexander; Kostrov, Alexander - In: PharmacoEconomics 4 (2014) 1, pp. 81-98

We compare several models for estimating the default probabilities of Russian banks using national statistics from 1998 to 2011, and find that a binary logit regression with a quasi-panel data structure works best. The results indicate that there is a quadratic U-shaped relationship between a...

Persistent link: https://www.econbiz.de/10010950480

The probability of default in Russian banking

Karminsky, Alexander; Kostrov, Alexander - In: Eurasian Economic Review 4 (2014) 1, pp. 81-98

Persistent link: https://www.econbiz.de/10011195680

The probability of default in Russian banking

Karminsky, Alexander M.; Kostrov, Alexander - In: Eurasian economic review : a journal in applied … 4 (2014) 1, pp. 81-98

Persistent link: https://www.econbiz.de/10010512216

Credit risk prediction using support vector machines

Trustorff, Jan-Henning; Konrad, Paul; Leker, Jens - In: Review of Quantitative Finance and Accounting 36 (2011) 4, pp. 565-581

Persistent link: https://www.econbiz.de/10009150113

Credit risk prediction using support vector machines

Trustorff, Jan-Henning; Konrad, Paul Markus; Leker, Jens - In: Review of quantitative finance and accounting 36 (2011) 4, pp. 565-581

Persistent link: https://www.econbiz.de/10009272384