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DeReMa (Development Research of Management): Jurnal Manajemen, 2020 The purpose of this research is to analyze the influence of financial ratios (Return on Equity, Current Ratio, Debt to Equity Ratio, Total Assets Turnover) in predicting the probability of default. The samples in this study were 22 companies.
Dessy Malasari +3 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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Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan, 2017 Abstrak Metode pengukuran probabilita kebangkrutan bank adalah masalah riset klasik. Metode pengukuran menggunakan analisis diskriminan dan model logit seperti Altman’s Z score dan Model Ohlson tidak memiliki dasar teoretik keuangan yang memadai ...
Buddi Wibowo
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Revista de Métodos Cuantitativos para la Economía y la Empresa, 2020 Este trabajo tiene como objetivo estimar las probabilidades de incumplimiento en proyectos de infraestructura. Para ello, se analiza la exposición que tienen los prestamistas frente a un estado de incumplimiento.
Zapata Quimbayo, Carlos Andrés
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Sovereign Wealth Funds, Sovereign Risk, and External Financing Costs of Financial Intermediaries [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2018 This paper takes a novel perspective in analyzing theoretically how the sovereign wealth funds (SWFs) would impact on the sovereign risk, and thereby, the financial sector and, due to some frictions, the real sector of its owner economy.
mohammad feghikashani, Parvin Yahyavi
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Estimating Default Probability of Bank Customers Using Neural Networks Method (Case Study: Pasargad Bank) [PDF]
مطالعات مالی و بانکداری اسلامی, 2018 The purpose of this study is identifying factors affecting the probability of loan default and forecasting default probability of non-corporate (natural) customers of Pasargad bank by means of neural networks method (NNM).
Mohammad Hossein Pourkazemi +2 more
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Default Probability Prediction with Static Merton-D-Vine Copula Model
European Journal of Business Science and Technology, 2015 We apply standard Merton and enhanced Merton-D-Vine copula model for the measurement of credit risk on the basis of accounting and stock market data for 4 companies from Prague Stock Exchange, in the midterm horizon of 4 years.
Václav Klepáč
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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.
openaire +2 more sources
Sovereign default and monetary policy tradeoffs [PDF]
, 2018 The paper is organized around the following question: when the economy moves from a debt-GDP level where the probability of default is nil to a higher level—the “fiscal limit”—where the default probability is non-negligible, how do the effects of routine
Bi, Huixin +2 more
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Mathematics, 2022 For a fixed time, t, and a horizon time, b, the probability of default (PD) measures the probability that an obligor, that has paid his/her credit until time t, runs into arrears not later that time t+b.
Rebeca Peláez +2 more
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