Results 1 to 10 of about 160,958 (306)
ESTIMATION OF DEFAULT PROBABILITY FOR LOW DEFAULT PORTFOLIOS
Ekonomika, 2012 This article presents several approaches to estimating the probabilities of default for low default portfolios, their advantages and disadvantages, and provides exemplary calculations using data of one external credit register of Lithuania.
Laima Dzidzevičiūtė
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Cognitive Science, 1991 A probability may be called “default” if it is neither derived from preestablished probabilities nor based on considerations of frequency or symmetry. Default probabilities presumably arise through reasoning based on causality and similarity. This article advances a model of default probability based on a featural approach to similarity.
Osherson, Daniel N. +4 more
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Analysis on financing structure and default probability of listed companies [PDF]
E3S Web of Conferences, 2021 This paper studies the relationship between the financing structure and the probability of default of A-share listed companies from 2001 to 2020. The purpose is to prevent the occurrence of default and ensure the healthy development of various industries.
Luo Xiangyun, Luo Miao
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The impact of monetary policy and bank competition on banking industry risk: A default analysis [PDF]
Banks and Bank Systems, 2021 In the financial system and economy, the banking industry plays a crucial role. Default risk takes central stage in preserving financial stability and needs to be mitigated as it can trigger a crisis.
Sri Ayomi +3 more
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Default Probabilities and Default Correlations [PDF]
SSRN Electronic Journal, 2001 Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans.
Erlenmaier, Ulrich, Gersbach, Hans
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The relationship between operating cash flow per share and portfolio default probability [PDF]
Management Science Letters, 2014 One of the primary duties of the depositary banks is to protect themselves against any possibility of bankruptcy. This requires the identification and measurement of risks, including default risk, which is important given the nature of the activities of ...
Mohammad Khodaei Valahzaghard +1 more
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Estimating Probabilities of Default [PDF]
SSRN Electronic Journal, 2004 In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches from large sample theory as well as bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods, cohort and duration (intensity), using 22 years of credit ...
Til Schuermann, Samuel Hanson
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Economies, 2022 Using stepwise logistic regression models, the study aims to separately detect and explain the determinants of default probability for unaudited and audited small-to-medium enterprises (SMEs) under stressed conditions in Zimbabwe.
Frank Ranganai Matenda, Mabutho Sibanda
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Финансы: теория и практика, 2020 This study aims to analyze the predictions of the default probability in the non-financial sector of the Indonesia Stock Exchange and the mutual influence between financial ratios. The KMV–Merton method was used for the calculations.
D. Malasari +3 more
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MACRO-FINANCIAL DETERMINANTS OF DEFAULT PROBABILITY USING COPULA: A CASE STUDY OF INDONESIAN BANKS
Buletin Ekonomi Moneter dan Perbankan, 2023 We investigate the default probability of Indonesian banks using the copula approach and analyze the macro-financial factors that drive them. We use quarterly data comprised of 80 banks from 2005 to 2019.
Maulana Harris Muhajir +2 more
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