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Are machine learning models more effective than logistic regressions in predicting bank credit risk? : an assessment of the Brazilian financial markets

Pinto, Alex Cerqueira; Carvalho, Alexandre Ywata de; … - In: International journal of monetary economics and finance … 17 (2024) 1, pp. 29-48

Persistent link: https://www.econbiz.de/10015066103

The impact of heuristics on the practice of risk management : the example of default probabilities

Deventer, Donald R. van; Zimmermann, Tom - In: Journal of risk management in financial institutions 7 (2014) 2, pp. 153-160

Persistent link: https://www.econbiz.de/10010360519

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that...

Persistent link: https://www.econbiz.de/10008748331

Implied default probabilities and losses given default from option prices

Conrad, Jennifer S.; Dittmar, Robert F.; Hameed, Allaudeen - In: Journal of financial econometrics 18 (2020) 3, pp. 629-652

Persistent link: https://www.econbiz.de/10012316704

Credit risk : simple closed-form approximate maximum likelihood estimator

Deo, Anand; Juneja, Sandeep - In: Operations research 69 (2021) 2, pp. 361-379

Persistent link: https://www.econbiz.de/10012533534

Firm size and the interlinkages between sales volatility, exports, and financial stability of Pakistani manufacturing firms

Rashid, Abdul; Hassan, M. Kabir; Karamat, Hafsa - In: Eurasian business review 11 (2021) 1, pp. 111-134

Persistent link: https://www.econbiz.de/10012495419

A hybrid model to estimate corporate default probabilities in China based on zero-price probability model and long short-term memory

Jing, Jiabao; Yan, Wenwen; Deng, Xiaomei - In: Applied economics letters 28 (2021) 5, pp. 413-420

Persistent link: https://www.econbiz.de/10012485042

Ascertaining the inference of bank internal default probabilities variations on variable rate institutional loan prepayments

Horovitz, Andre - In: The Quarterly Journal of Finance : QJF 13 (2023) 2, pp. 1-44

Persistent link: https://www.econbiz.de/10014442255

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

As the debt ceiling episode unfolds, we highlight a sharp increase in activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014249852

Asymmetric effects of noise in Merton default risk model : evidence from emerging Asia

Omar, Arti; Prasanna, P. Krishna - In: Pacific-Basin finance journal 65 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013252819