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We develop distress prediction models for non-financial small and medium sized enterprises (SMEs) using a dataset from … many micro companies, it offers unique insights into European small businesses. Second, it explores distress in a multi …-country setting, allowing for regional and country comparisons. Third, the models can capture changes in overall distress rates and co …
Persistent link: https://www.econbiz.de/10011862221
In this paper, we examine idiosyncratic and systematic distress predictors for small and medium sized enterprises (SMEs … factors but systematic factors vary. Moreover, systematic factors move average distress rates and small SMEs are more …) in Europe over the period 2000-2009. We find that SMEs across European regions are vulnerable to common idiosyncratic …
Persistent link: https://www.econbiz.de/10013007504
augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi …
Persistent link: https://www.econbiz.de/10008939079
) and continuous-time Cox Proportional Hazards (CPH) model in predicting bankruptcy and financial distress of the United … States Small and Medium-sized Enterprises (SMEs). Consistent with the theoretical arguments, we report that discrete …
Persistent link: https://www.econbiz.de/10012937919
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...
Persistent link: https://www.econbiz.de/10010403045
A forward intensity model for the prediction of corporate defaults over different future periods is proposed. Maximum pseudo-likelihood analysis is then conducted on a large sample of the US industrial and financial firms spanning the period 1991-2011 on a monthly basis. Several commonly used...
Persistent link: https://www.econbiz.de/10013115024
In banking practice, rating transition matrices have become the standard approach of deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being available from Basel ratings. Rating transition matrices have gained in importance with the newly adopted IFRS 9...
Persistent link: https://www.econbiz.de/10012853972
Probabilities of default built for regulatory purposes cannot be applied directly to expected credit losses impairment calculations under the IFRS 9 new standard. This is because the regulatory framework requires stressed through-the-cycle (TTC) probabilities, so as to avoid a procyclical...
Persistent link: https://www.econbiz.de/10013012677
This paper proposes a novel system-wide multi-state framework to model state occupations and the transitions among current, delinquency, default, prepayment, repurchase, short sale and foreclosure on mortgage loans. The approach allows for the modelling of the progression of borrowers from one...
Persistent link: https://www.econbiz.de/10012293007
Persistent link: https://www.econbiz.de/10011585568