Results 11 to 20 of about 160,958 (306)
Country default probabilities: assessing and backtesting [PDF]
The Journal of Risk Model Validation, 2007 We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are derived, which is problematic for backtesting.
Vogl, Konstantin +3 more
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Probability of Default Models of Russian Banks [PDF]
SSRN Electronic Journal, 2004 This paper presents results from an econometric analysis of Russian bank defaults during the period 1997-2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults. Binary choice models are estimated to construct the probability of default model.
Peresetsky, Anatoly A. +2 more
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EMPIRICAL STUDY OF THE PROBABILITY OF DEFAULT IN CASE OF ROMANIAN COMPANIES LISTED ON STOCK EXCHANGE [PDF]
Annals of the University of Oradea: Economic Science, 2011 The importance of estimation of a firm's probability of default increased significantly during the economic and financial crisis for financial institutions, which can be explained by the fact that the share of nonperforming loans increased in this period.
Marton Noemi, Racz Timea Erzsebet +3 more
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Probability of Default and Default Correlations
Journal of Risk and Financial Management, 2016 We consider a system where the asset values of firms are correlated with the default thresholds. We first evaluate the probability of default of a single firm under the correlated assets assumptions. This extends Merton’s probability of default of a single firm under the independent asset values assumption.
Weiping Li, Li, Weiping
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The effect of probability and framing on the default effect in decision making under risk [PDF]
Scientific ReportsThis study examines how probability and outcome framing modulate the default effect in risky decision-making using two controlled experiments with probabilistically equivalent lotteries. Participants repeatedly chose among four equivalent betting options,
Joshua Lanier, Di Wang, Yusha Xie
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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
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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
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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
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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
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Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models
Information, 2023 In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their probability of death using the daily range.
Dean Fantazzini
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