Search Results - subject:"Probability of default"

Understanding and predicting systemic corporate distress : a machine-learning approach

Hacibedel, Burcu; Qu, Ritong - In: The journal of credit risk : published quarterly by … 19 (2023) 3, pp. 79-116

Persistent link: https://www.econbiz.de/10014489149

Assessment of model risk due to the use of an inappropriate parameter estimator

Seitshiro, Modisane B.; Mashele, Hopolang P. - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-20

probability of default through binary logistic regression model and determining optimum parameters that minimize the objective …

Persistent link: https://www.econbiz.de/10012657559

Expected credit loss modeling from a top-down stress testing perspective

Groß, Marco; Laliotis, Dimitrios; Leika, Mindaugas; … - 2020

The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for institutions wishing to include accounting-based approaches for credit risk modeling in top-down stress...

Persistent link: https://www.econbiz.de/10012302079

Assessment of model risk due to the use of an inappropriate parameter estimator

Seitshiro, Modisane B.; Mashele, Hopolang P. - In: Cogent economics & finance 8 (2020) 1, pp. 1-20

probability of default through binary logistic regression model and determining optimum parameters that minimize the objective …

Persistent link: https://www.econbiz.de/10012149200

Accounting model for impairment under IFRS 9 and its impact on loss allowance

Orbán, Ildikó; Tamimi, Oday - In: European research studies 23 (2020) 4, pp. 1259-1277

Persistent link: https://www.econbiz.de/10012511321

Optimum reserves in Vietnam based on the approach of cost-benefit for holding reserves and sovereign risk

Tran Thinh Vuong; Le Phan Thi Dieu Thao - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 3, pp. 157-165

Persistent link: https://www.econbiz.de/10012667336

Credit scoring in SME asset-backed securities: An Italian case study

Bedin, Andrea; Billio, Monica; Costola, Michele; … - 2019

We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic...

Persistent link: https://www.econbiz.de/10012111345

On unbalanced sampling in bankruptcy prediction

Gruszczyński, Marek - In: International Journal of Financial Studies 7 (2019) 2, pp. 1-13

of default (PD). A common error in applications is neglecting the possibility of calibrating the PD obtained from a …. We offer an extended view of the relationship between the biased and unbiased estimated probabilities of bankruptcy-probability …

Persistent link: https://www.econbiz.de/10013200206

An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages

Cheng, Dan; Cirillo, Pasquale - In: Risks 7 (2019) 3, pp. 76

We propose an alternative approach to the modeling of the positive dependence between the probability of default and …

Persistent link: https://www.econbiz.de/10013200494

Aggregation of incidence and intensity risk variables to achieve reconciliation

Hunt, Clive; Taplin, Ross - In: Risks 7 (2019) 4, pp. 1-14

product of exposure at default (EAD), probability of default (PD), and loss given default (LGD) of the loan. Simple weighted …

Persistent link: https://www.econbiz.de/10013200525