In a Black-Scholes-Merton model of single name default, instability could be seen as the level of volatility that would trigger default, everything else equal. At a portfolio level, for instance comprising all credit liabilities of the corporate sector, potential for instability could be...

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...