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Forecasting distress in European SME portfolios

Michala, Dimitra; Grammatikos, Theoharry; Ferreira … - 2013

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

Multi-period credit default prediction with time-varying covariates

Orth, Walter - 2011 - First draft: March 17, 2011

augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi …

Persistent link: https://www.econbiz.de/10008939079

Localising forward intensities for multiperiod corporate default

Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014

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

Multiperiod Corporate Default Prediction - A Forward Intensity Approach

Duan, Jin-Chuan - 2012

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

Sparse Structural Approach for Rating Transitions

Perederiy, Volodymyr - 2020

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

A multi-state approach to modelling intermediate events and multiple mortgage loan outcomes

Chamboko, Richard; Bravo, Jorge Miguel Ventura - In: Risks : open access journal 8 (2020) 2/64, pp. 1-28

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

Duration of consumer loans and bank lending policy : dormancy versus default risk

Carling, Kenneth; Jacobson, Tor; Roszbach, Kasper - 1998

Persistent link: https://www.econbiz.de/10011585568

Exploring the sources of loan default clustering using survival analysis with frailty

Bátiz-Zuk, Enrique; Mohamed, Abdulkadir; … - 2021

This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro, small and medium sized firms from January 2010...

Persistent link: https://www.econbiz.de/10012625525

Default Prediction with a Multiple-Spell Discrete-Time Hazard Model

Jovan, Matej - 2019

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

Evaluation of minimum capital requirements for bank loans to SMEs

Düllmann, Klaus; Koziol, Philipp - 2013

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs … particularly rich and well developed credit market for SMEs in Germany. We estimate asset correlations as the key measure of … granted in Basel II for SMEs relative to large firms. For SME loans in the corporate portfolio of the Internal Ratings …

Persistent link: https://www.econbiz.de/10009751062