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Forecasting Distress in European SME Portfolios
Ferreira Filipe, Sara; Grammatikos, Theoharry; Michala, … - 2014
than half of the total value-added. In this paper, we develop distress prediction models for SMEs using a dataset from … overall distress rates. Moreover, SMEs across Europe are vulnerable to the same idiosyncratic factors but systematic factors …In the European Union, small and medium sized enterprises (SMEs) represent 99% of all businesses and contribute to more …
Persistent link: https://www.econbiz.de/10015241019
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Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component
Yang, Bill Huajian - 2017
Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation apply only to macroeconomic scenarios. Loan level credit quality is not a factor in these models. In practice, credit profile at assessment time plays an important role in the...
Persistent link: https://www.econbiz.de/10015257063
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Endogenous derivation and forecast of lifetime PDs
Perederiy, Volodymyr - 2015
This paper proposes a simple technical approach for the derivation of future (forward) point-in-time PD forecasts, with minimal data requirements. The inputs required are the current and future through-the-cycle PDs of the obligors, their last known default rates, and a measure for the...
Persistent link: https://www.econbiz.de/10015248414
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Forecasting Bankruptcy with Incomplete Information
Xu, Xin - 2013
significantly improve both in-sample model fit and out-of-sample forecasting accuracy. The improvements in forecasting accuracy are …
Persistent link: https://www.econbiz.de/10015241970
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Analysis of the Evolution of Income Disparities Among WAEMU Member Countries
COULIBALY, Niénéyéri Mamadou - 2021
The main aims of this study are to examine the income disparities’ evolution among the West-African Economic and Monetary Union (WAEMU) countries over the period 1980-2019, and to determine whether the reforms implemented in the region since 1994 have helped to reduce or to accentuate the...
Persistent link: https://www.econbiz.de/10015266766
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Periodic autoregressive conditional duration
Aknouche, Abdelhakim; Almohaimeed, Bader; … - 2020
and two empirical applications on forecasting Bitcoin trading volume and realized volatility. We found that the PACD …
Persistent link: https://www.econbiz.de/10015238172
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Periodic autoregressive conditional duration
Aknouche, Abdelhakim; Almohaimeed, Bader; … - 2020
and two empirical applications on forecasting Bitcoin trading volume and realized volatility. We found that the PACD …
Persistent link: https://www.econbiz.de/10015212752
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A beta prime ARMA model for positive time series
Aknouche, Abdelhakim; Almohaimeed, Bader; … - 2025
A class of generalized ARMA models with an identity link function and a conditional beta prime (BP-ARMA) distribution is proposed for modeling positive time series. Sufficient and necessary conditions for the existence of an ergodic stationary BP-ARMA process having finite moments are first...
Persistent link: https://www.econbiz.de/10015331509
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Ordinal-response models for irregularly spaced transactions: A forecasting exercise
Dimitrakopoulos, Stefanos; Tsionas, Mike G.; Aknouche, … - 2020
leverage and in-mean effects. In a purely Bayesian framework we conduct a forecasting exercise using multiple high …
Persistent link: https://www.econbiz.de/10015220557
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Multi-period credit default prediction with time-varying covariates.
Orth, Walter - 2011
augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi …
Persistent link: https://www.econbiz.de/10015226685