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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
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
We argue that the true transition-to-default dynamic in banks' credit portfolios can only be fully described with a multiple-spell discrete-time hazard model. This paper develops such a model for default prediction. The model permits the use of all data available to the bank or to the bank...
Persistent link: https://www.econbiz.de/10012903507
We investigate non-financial variables for predicting bankruptcy in small and medium-sized enterprises (SMEs). The …, rendering them available to all stakeholders and allowing for the analysis of all SMEs within a market. Using a large and recent … sample of SMEs, we empirically examine the variables that predict bankruptcy over time horizons of one, two and three years …
Persistent link: https://www.econbiz.de/10015193464
Persistent link: https://www.econbiz.de/10011634271
Predictions of the individual unemployment duration will allow to distribute target support while searching for a job more effectively. The paper uses survival models to predict the unemployment duration based on data from Russian employment centers in 2017-2021. The dataset includes...
Persistent link: https://www.econbiz.de/10015396287
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …-frequency processes ; trading volume ; forecasting …
Persistent link: https://www.econbiz.de/10009526607