Actuaries have long employed logistic type regression models in their analysis of renewal rates for property and casualty insurance products. This paper introduces an application of such methodology to the prediction of corporate bankruptcy. This is an example of a widerfield area of endeavor...

This paper examines how the default likelihood indicator computed from the option-based model of Merton (1974) together with two default-related factors, namely firm size and book-to-market ratio, effectively explain credit ratings when compared to accounting ratios. Using Australian companies...

Purpose: This paper examines whether short sellers aggravate volatility in the Australian stock market by using five different realized volatility (RV) measures during a more stable period. Design/methodology/approach: The authors develop a measure to capture the abnormal level of short selling...