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Sparse Structural Approach for Rating Transitions

Perederiy, Volodymyr - 2020

have gained in importance with the newly adopted IFRS 9 accounting standard. Here, the multi-year PDs can be used to … rating discretization).In the IFRS 9 context, the approach offers an additional merit: it can easily account for the … macroeconomic adjustments, which are required by the IFRS 9 accounting standard …

Persistent link: https://www.econbiz.de/10012853972

A deep learning approach to estimate forward default intensities

Divernois, Marc-Aurèle - 2020 - Preliminary draft

This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default process. The major contribution to previous...

Persistent link: https://www.econbiz.de/10012419329

Enhancing credit risk assessments of SMEs with non-financial information

Wahlstrøm, Ranik Raaen; Becker, Linn-Kristin; Fornes, … - In: Cogent economics & finance 12 (2024) 1, pp. 1-33

We investigate non-financial variables for predicting bankruptcy in small and medium-sized enterprises (SMEs). The variables encompass management, board and ownership structures and are sourced from universally accessible information, rendering them available to all stakeholders and allowing for...

Persistent link: https://www.econbiz.de/10015193464

A bankruptcy probability model for assessing credit risk on corporate loans with automated variable selection

Hjelseth, Ida Nervik; Raknerud, Arvid; Vatne, Bjørn Helge - 2022

We propose an econometric model for predicting the share of bank debt held by bankrupt firms by combining a novel set of firm-level financial variables and macroeconomic indicators. Our firm-level data include payment remarks in the form of debt collections from private agencies and attachments...

Persistent link: https://www.econbiz.de/10013337991

Dynamic Factor Analysis of Industry Sector Default Rates and Implication for Portfolio Credit Risk Modelling

Cipollini, Andrea; Missaglia, Giuseppe - 2007

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and macro-variables for Italy. Multi step ahead density and probability forecasts are obtained by employing both...

Persistent link: https://www.econbiz.de/10014049758

Group affiliation and default prediction

Beaver, William H.; Cascino, Stefano; Correia, Maria; … - 2018

Using a large sample of business groups from more than one hundred countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance...

Persistent link: https://www.econbiz.de/10011864989

Measuring credit risk in family firms

Abinzano, Isabel; Corredor, Pilar; Martinez, Beatriz - In: Business research quarterly : BRQ 25 (2022) 3, pp. 265-282

This article attempts to identify the default risk measure which best reflects the idiosyncratic context of public family firms. Seven accounting- and market-based measures are compared over a sample of 981 US family and non-family firms for the period 2000-2016. The results show that the...

Persistent link: https://www.econbiz.de/10013272953

Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany

Rösch, Daniel - 2013

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on a portfolio basis and for banks' capital requirements under the New Basel Accord. However, empirical evidence on the magnitude of correlations is rather scarce, mainly due to...

Persistent link: https://www.econbiz.de/10013073402

Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection

Rösch, Daniel - 2015

This paper offers a joint estimation approach for forecasting probabilities of default and loss rates given default in the presence of selection. The approach accommodates fixed and random risk factors. An empirical analysis identifies bond ratings, borrower characteristics and macroeconomic...

Persistent link: https://www.econbiz.de/10013034788

Net flow rates versus roll rates as non-performing consumer loans forecasting methodologies

De Ribera Martin, Francisco de Asis - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 37-59

Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...

Persistent link: https://www.econbiz.de/10013485817