Results 11 to 20 of about 736,428 (286)
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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Default Probabilities and Default Correlations Under Stress [PDF]
SSRN Electronic Journal, 2014 We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions encompassing many distributions commonly found in financial modelling.
Packham, Natalie +2 more
openaire +4 more sources
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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Effect of rollover risk on default risk: evidence from bank financing [PDF]
, 2017 We study the effect of rollover risk on the risk of default using a comprehensive database of U.S. industrial firms during 1986–2013. Dependence on bank financing is the key driver of the impact of rollover risk on default risk. Default risk and rollover
Chiu, Wan-Chien +2 more
core +1 more source
Assessment of Support Vector Machine performance for default prediction and credit rating [PDF]
Banks and Bank Systems, 2022 Predicting the creditworthiness of bank customers is a major concern for banking institutions, as modeling the probability of default is a key focus of the Basel regulations.
Karim Amzile, Mohamed Habachi
doaj +1 more source
Does corporate R&D investment support to decrease of default probability of Asian firms?
Borsa Istanbul Review, 2019 This paper examines the nature of the relationship between corporate R&D investment and the probability of default. Existing evidence on the topic is varied and often conflicting due to its complexity.
Victoria Cherkasova, Alena Kurlyanova
doaj +1 more source
Die Hard: Probability of Default and Soft Information
Risks, 2020 The research aims to verify whether the credit risk of small and medium-sized enterprises can be estimated more accurately using qualitative variables together with financial information from reports.
Giampaolo Gabbi +2 more
doaj +1 more source
A Machine Learning Approach for Micro-Credit Scoring
Risks, 2021 In micro-lending markets, lack of recorded credit history is a significant impediment to assessing individual borrowers’ creditworthiness and therefore deciding fair interest rates. This research compares various machine learning algorithms on real micro-
Apostolos Ampountolas +3 more
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Analyzing the Effect of Dividends on Default Probability According to Signaling and Agency Theories [PDF]
تحقیقات مالیObjectiveThe probability of default is one factor that determines the cost of capital due to its role in credit risk. Dividend as a sign of cash flow or as a sign of ownership of wealth is one of the factors affecting the probability of default.
Alireza Najjarpour +2 more
doaj +1 more source
DMDP: A Dynamic Multi-source Default Probability Prediction Framework
Data Science and Engineering, 2019 In this paper, we propose a dynamic forecasting framework, named DMDP (dynamic multi-source default probability prediction), to predict the default probability of a company.
Yi Zhao, Yanyan Shen, Yong Huang
doaj +1 more source