Search Results - subject:"Default probability"

The valuation of deposit insurance premiums based on a specific bank's official default probability

Chiang, Shu Ling; Tsai, Ming-shann - In: Multinational finance journal 23 (2019) 3/4, pp. 141-167

Persistent link: https://www.econbiz.de/10012590830

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

said, our findings reveal that the conversion of a shock (i.e., stress event) increases the (non-stress) default … probability by 20% to 80% - depending on the stress test model selected. Interestingly, forecasts for non-stress default …

Persistent link: https://www.econbiz.de/10011981523

The impact of lending standards on default rates of residential real estate loans

Gaudêncio, João; Mazany, Agnieszka; Schwarz, Claudia - 2019

This paper analyses the impact of lending standards for residential real estate (RRE) loans on default rates, using a novel loan-level dataset from the European DataWarehouse (EDW) that covers eight euro area countries. To the best of the authors' knowledge, this paper is the first to use, for...

Persistent link: https://www.econbiz.de/10011988415

Book-to-market equity and asset correlations : an international study

Ho, Kung-Cheng; Lee, Shih-Cheng; Chen, Jiun-Lin - In: International review of economics & finance : IREF 79 (2022), pp. 258-274

Persistent link: https://www.econbiz.de/10013343395

Applying machine learning algorithms to predict default probability in the online credit market : evidence from China

Liu, Yi; Yang, Menglong; Wang, Yudong; Li, Yongshan; … - In: International review of financial analysis 79 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013349857

On the information content of credit ratings and market-based measures of default risk

Gredil, Oleg R.; Kapadia, Nishad; Lee, Jung H. - In: Journal of financial economics 146 (2022) 1, pp. 172-204

Persistent link: https://www.econbiz.de/10013482171

The information content of CDS implied volatility and associated trading strategies

Shi, Yukun; Chen, Ding; Guo, Biao; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013460868

Linear discriminant analysis and logistic regression for default probability prediction : the case of an Italian local bank

D'Amato, Antonio; Mastrolia, Emiliano - In: International journal of managerial and financial … 14 (2022) 4, pp. 323-343

Persistent link: https://www.econbiz.de/10013415111

Measuring systemic risk and contagion in the European financial network

Tafakori, Laleh; Pourkhanali, Armin; Rastelli, Riccardo - In: Empirical economics : a quarterly journal of the … 63 (2022) 1, pp. 345-389

Persistent link: https://www.econbiz.de/10013440290

Modeling credit risk in the presence of central bank and government intervention

Engelmann, Bernd - In: The journal of risk model validation 16 (2022) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014540302