Narrow search
Showing 1 - 10 of 217
Cover Image
Forecasting corporate distress in the Asian and Pacific region
Moro, Russ; Härdle, Wolfgang Karl; Aliakbari, Saeideh; … - 2011
This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of default, leverage ratios and the company size display a...
Persistent link: https://www.econbiz.de/10010281539
Cover Image
New recipes for estimating default intensities
Baranovski, Alexander; von Lieres und Wilkau, Carsten; … - 2009
This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral...
Persistent link: https://www.econbiz.de/10010276969
Cover Image
Copula dynamics in CDOs
Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - 2012
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...
Persistent link: https://www.econbiz.de/10010318769
Cover Image
Measuring and modeling risk using high-frequency data
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, Uta - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10010274148
Cover Image
Common factors in credit defaults swaps markets
Chen, Yi-hsuan; Härdle, Wolfgang Karl - 2012
We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....
Persistent link: https://www.econbiz.de/10010318764
Cover Image
Incorporating the dynamics of leverage into default prediction
Löffler, Gunter; Maurer, Alina - 2009
A firm's current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to a target leverage, we forecast future leverage ratios and include them in...
Persistent link: https://www.econbiz.de/10010263767
Cover Image
Mandatory IFRS adoption and accounting comparability
Cascino, Stefano; Gassen, Joachim - 2010
The adoption of IFRS by many countries worldwide fuels the expectation that financial accounting might become more … shaping accounting information. We provide early evidence on this debate by investigating the effects of mandatory IFRS … adoption of IFRS increases the comparability of some prominent balance sheet line items across countries, it has no clear …
Persistent link: https://www.econbiz.de/10010281527
Cover Image
Comparability effects of mandatory IFRS adoption
Cascino, Stefano; Gassen, Joachim - 2012
The mandatory adoption of IFRS by many countries worldwide fuels the expectation that financial accounting information … of mandatory IFRS adoption on the comparability of financial accounting information around the world. Using two … comparability proxies based on De Franco et al. [2011], our results suggest that the overall comparability effect of mandatory IFRS …
Persistent link: https://www.econbiz.de/10010281535
Cover Image
CDO and HAC
Choroś, Barbara; Härdle, Wolfgang Karl; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10010274189
Cover Image
Penalized adaptive method in forecasting with large information set and structure change
Li, Xinjue; Zbonakova, Lenka; Härdle, Wolfgang Karl - 2017
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals over the data sample and simultaneously choose the most proper variables...
Persistent link: https://www.econbiz.de/10011725390