Loss given default (LGD) models predict losses as a proportion of the outstanding loan, in the event a debtor goes into default. The literature on corporate sector LGD models suggests LGD is correlated to the economy and so changes in the economy could translate into different predictions of...

Retail credit models are implemented using discrete survival analysis, enabling macroeconomic conditions to be included as time-varying covariates. In consequence, these models can be used to estimate changes in probability of default given downturn economic scenarios. Compared with traditional...

Bankruptcy prediction is a key part in corporate credit risk management. Traditional bankruptcy prediction models employ financial ratios or market prices to predict bankruptcy or financial distress prior to its occurrence. We investigate the predictive accuracy of corporate efficiency measures...