Search Results - subject:"Probability of default"

Industry characteristics, risk premiums, and debt pricing

Amiram, Dan; Kalay, Alon; Sadka, Gil - In: The accounting review : a publication of the American … 92 (2017) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011645912

When banks venture beyond home turf : consequences for loan performance

Tanoue, Yuta; Yamashita, Satoshi - In: The journal of credit risk : published quarterly by … 13 (2017) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10011849964

Determinants of the probability of default : the case of the internationally listed shipping corporations

Lozinskaia, Agata; Merikas, Andreas G.; Merika, Anna; … - In: Maritime policy and management : MPM 44 (2017) 7/8, pp. 837-858

Persistent link: https://www.econbiz.de/10011854748

The impact of PD-LGD correlation on expected loss and economic capital

Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja - In: International business and economics research journal 16 (2017) 3, pp. 157-170

Persistent link: https://www.econbiz.de/10011965066

Determining the probability of default of agricultural loans in a French bank

Jouault, Amelie; Featherstone, Allen M. - In: Journal of Applied Finance & Banking 1 (2011) 1, pp. 1-30

binomial logit regression is used to estimate several models of the probability of default of agribusiness loans based on … statistically significant indicators of the probability of default. As leverage increases, profitability decreases, or liquidity … decreases, the probability of default increases. As the length of loan increases, the probability of default also increases …

Persistent link: https://www.econbiz.de/10010277143

Updating the Option Implied Probability of Default Methodology

Vilsmeier, Johannes - 2011

In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the …

Persistent link: https://www.econbiz.de/10010294741

Improvements in rating models for the German corporate sector

Förstemann, Till - 2011

Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the...

Persistent link: https://www.econbiz.de/10010306613

Ratingverfahren: Diskriminanzanalyse versus Logistische Regression

Braun, Daniel; Allgeier, Burkhard; Cremers, Heinz - 2011

The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating...

Persistent link: https://www.econbiz.de/10010307708

What factors drive the Russian banks license withdrawal

Peresetsky, A. A. - Volkswirtschaftliche Fakultät, … - 2011

The binary and multinomial logit models are applied for prediction of the Russian banks defaults (license withdrawals) using data from bank balance sheets and macroeconomic indicators. Significantly different models correspond to the two main grounds for license withdrawal: financial insolvency...

Persistent link: https://www.econbiz.de/10011258099

Assessing bank's default probability using the ASRF model

Radkov, Petar; Minkova, Leda - Volkswirtschaftliche Fakultät, … - 2011

estimation of the propose measure of bank probability of default could be made over the capital ratio from supervisory …

Persistent link: https://www.econbiz.de/10011112342