Search Results - subject:"Distance to default"

Contagion between European and US banks: Evidence from equity prices

Fricke, Daniel - 2010

finding market-based indicators in order to analyze the effects of crises and to quantify the risk of contagion. The Distance-to-default …

Persistent link: https://www.econbiz.de/10010274429

"Too dispersed to monitor? Ownership dispersion, monitoring and the prediction of bank distress"

Auvray, Tristan; Brossard, Olivier - HAL - 2010

price, the Merton-KMV distance to default (DD). The significance of this indicator depends on the efficacy of shareholders …

Persistent link: https://www.econbiz.de/10009368020

Financial and economic determinants of firm default

Bottazzi, Giulio; Grazzi, Marco; Secchi, Angelo; … - 2009

economic variables play both a long and short term effect. Our findings are robust with respect to the inclusion of Distance to … Default and risk ratings among the regressors. …

Persistent link: https://www.econbiz.de/10010328639

Financial and economic determinants of firm default

Bottazzi, Giulio; Grazzi, Marco; Secchi, Angelo; … - Laboratory of Economics and Management (LEM), Scuola … - 2009

This paper investigates the relevance of financial and economic variables as determinants of firm defaults. Our analysis is not limited to publicly traded companies but extends to a large sample of limited liability firms. We consider size, growth, profitability and productivity together with a...

Persistent link: https://www.econbiz.de/10004969785

Is there Needed an Industry Approach on Corporate Default Risk? Case Study on Companies Listed on Romanian Stock Exchange

Triandafil, Cristina Maria; Brezeanu, Petre; Petrescu, … - In: Theoretical and Applied Economics 02(531) (2009) 02(531), pp. 61-72

This paper focuses on applying Black and Scholes structural approach on credit risk in the case of the companies listed on Romanian Stock Exchange. We conduct a case-study on 35 companies belonging to five industries (energetic, materials, chemistry, pharmaceuticals, equipments) during a period...

Persistent link: https://www.econbiz.de/10005581541

Risk in the EU banking industry and efficiency under quantile analysis

Mamatzakis, E; Koutsomanoli, A - Volkswirtschaftliche Fakultät, … - 2009

examine the relationship between risk, measured as distance to default and efficiency. Cross section regressions show that the … higher the risk the lower the level of efficiency. The magnitude and the significance of the coefficient of the distance to … default increases for conditional distributions associated with lower levels of efficiency. …

Persistent link: https://www.econbiz.de/10008516586

Bank default risk and carry trade profit

Kim, Daehwan; Song, Chi-Young - In: Economics Letters 130 (2015) C, pp. 117-119

default risk of a country by averaging the distance to default–an option-pricing-based measure of default risk–of individual … banks in that country. The average distance to default is strongly correlated both with deposit rate and with currency … excess return. Also, “distance-to-default premium” explains a significant part of the time variation in carry trade profit. …

Persistent link: https://www.econbiz.de/10011263421

Robustness of distance-to-default

Jessen, Cathrine; Lando, David - In: Journal of Banking & Finance 50 (2015) C, pp. 493-505

Distance-to-default (DD) is a measure of default risk derived from observed stock prices and book leverage using the … distance-to-default measure that significantly improves the ranking of firms with stochastic volatility, but this measure is …

Persistent link: https://www.econbiz.de/10011118085

Bank regulation, risk and return: Evidence from the credit and sovereign debt crises

Hoque, Hafiz; Andriosopoulos, Dimitris; Andriosopoulos, … - In: Journal of Banking & Finance 50 (2015) C, pp. 455-474

cross section of global banks. In this regard, we examine distance to default (Laeven and Levine, 2008), systemic risk …

Persistent link: https://www.econbiz.de/10011118114

A quantitative approach to assessing sovereign default risk in resource-rich emerging economies

Nyambuu, Unurjargal; Bernard, Lucas - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 220-241

Persistent link: https://www.econbiz.de/10015180001