This paper studies the effects of systematic distress and sectoral distress in the context of default/bankruptcy prediction using a large sample of U.S. public company default data from 1991 to 2009. I construct measures to proxy for economy-wide systematic distress and sectoral distress based...

We analyze portfolio credit risk in light of dynamic quot;frailty,quot; by which the credit qualities of different firms depend on common unobservable time-varying default covariates. Frailty is estimated to have a large impact on estimated conditional mean default rates, above and beyond those...

In this paper, we examine idiosyncratic and systematic distress predictors for small and medium sized enterprises (SMEs) in Europe over the period 2000-2009. We find that SMEs across European regions are vulnerable to common idiosyncratic factors but systematic factors vary. Moreover, systematic...

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...

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...

We develop distress prediction models for non-financial small and medium sized enterprises (SMEs) using a dataset from eight European countries over the period 2000-2009. We examine idiosyncratic and systematic covariates and find that macro conditions and bankruptcy codes add predictive power...

The Internal Ratings Based (IRB) approach for capital determination is one of the cornerstones in the proposed revision of the Basel Committee rules for bank regulation. We evaluate the IRB approach using historical business loan portfolio data from a major Swedish bank for the period 1994 to...

Short-term financing, e.g., asset-backed commercial paper (ABCP) or repurchase agreements (repo), was prevalent prior to the 2007-2008 financial crises. Banks funded by short-term debts, however, are exposed to rollover risk as the banks are unable to raise sufficient funds to finance their...

Theory predicts that information noise induces interactions between the degree of noise and credit risk determinants (Duffie and Lando [2001, Econometrica 69 633-664]). Using well-known bankruptcy hazard models and over two million firm-months of data during 1979-2012, we demonstrate the...

We investigate the duration of bad loans for a unique data set of sole proprietorships in Italy, finding that bad loans for female firms last longer. However, this result is mainly due to the fact that loans granted to female firms are less frequently written off than those to male ones,...