Search Results - subject:"Default probability"

Green firms are less risky: Results from a preferential capital requirement programme in emerging Europe

Várgedő, Bálint; Burger, Csaba; Kim, Donát - 2025

This study evaluates the credit risk of sustainable loans in a preferential capital requirement programme. We utilise loanlevel data from a uniquely implemented programme from Hungary, applying logistic regressions and survival analysis techniques. We observe a significantly reduced credit risk...

Persistent link: https://www.econbiz.de/10015433748

Does economic policy uncertainty matter to corporate default probability? : findings from theoretic analyses and China’s listed firms

Liu, Junrong; Deng, Guoying; Yan, Jingzhou; Ma, Shibo - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10015359884

Commercial real estate loans in Europe : does loan-to-value at origination predict default risk?

Ciocchetta, Federica; Pico, Raffaella; Quaglia, Ivan - 2025

Persistent link: https://www.econbiz.de/10015408423

The extent to which contingent convertible leasing protects bank deposits : a barrier option approach

Khadimallah, Asma; Abid, Fathi - In: China finance and economic review : CFER 14 (2025) 1, pp. 113-129

This paper proposes an alternative solution to the problem related to the risk that banks incur in the protection of deposits. This solution lies in the use by banks of contingent convertible leasing contracts to face financial distress situations by solidifying their own funds and thus...

Persistent link: https://www.econbiz.de/10015411475

Survival analysis for credit risk : a dynamic approach for Basel IRB compliance

Dala, Fernando L.; Esquível, Manuel L.; Gaspar, Raquel M. - In: Risks : open access journal 13 (2025) 8, pp. 1-22

This paper uses survival analysis as a tool to assess credit risk in loan portfolios within the framework of the Basel Internal Ratings-Based (IRB) approach. By modeling the time to default using survival functions, the methodology allows for the estimation of default probabilities and the...

Persistent link: https://www.econbiz.de/10015448887

Estimating short-term default probabilities conditional to economic conditions : applications of regularisation approach and economic adjustment coefficients

Siti Aisyah Mustafa; Safwan Mohd Nor; Zairihan Abdul Halim - In: Business systems research : a system view accross … 16 (2025) 1, pp. 178-197

for estimating future default probability, this study informs financial market regulators by providing entities with an …) carries little informational content on the future default probabilities. Non-investment grade ratings depict higher default … probability, while investment- grade ratings yield default propensity of less than 1.1% in the next quarters and exhibit higher …

Persistent link: https://www.econbiz.de/10015416312