Results 51 to 60 of about 195,173 (169)
The Regime-Switching Structural Default Risk Model
RisksWe develop the regime-switching default risk (RSDR) model as a generalization of Merton’s default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions.
Andreas Milidonis, Kevin Chisholm
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CORPORATE FINANCIAL DISTRESS AND BANKRUPTCY: A COMPARATIVE ANALYSIS IN FRANCE, ITALY AND SPAIN [PDF]
Global Economic Observer, 2013 The paper presents a competing-risks approach for investigating the determinants of corporate financial distress. In particular a comparative analysis of three European markets-France, Italy and Spain–is performed in order to find out the similarities ...
Alessandra Amendola +2 more
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Ekonomìka Harčovoï Promislovostì, 2020 The article examines the economic literature on the approaches to the analysis of receivables of the enterprise. The sequence of receivables analysis has been made by stages: definition of purpose, objects, tasks of analysis, work on sources of ...
T. Stupnytska +3 more
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Default Risk and Option Returns
Management ScienceThis paper studies the effects of default risk on expected equity option returns. In the cross-section, expected delta-hedged equity option returns have a negative relation with default risk measured by credit ratings or default probability. In the time series, credit rating downgrades (upgrades) lead to a decrease (increase) in the firm’s delta ...
Aurelio Vasquez, Xiao Xiao
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Risk Management with Default-Risky Forwards [PDF]
SSRN Electronic Journal, 2004 This paper studies the impact of counter-party default risk of forward contracts on a firm's production and hedging decisions. Using a model of a risk-averse competitive firm under price uncertainty, it derives several fundamental results. If expected profits from forward contracts are zero, the hedge ratio is surprisingly not affected by default risk ...
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Risks, 2018 The topic of bank default risk in connection with government bailouts has recently attracted a great deal of attention. In this paper, the question of how a bank’s default risk is affected by a distress acquisition is investigated.
Jyh-Jiuan Lin +2 more
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An Integrated Approach to Pricing Catastrophe Reinsurance
Risks, 2017 We propose an integrated approach straddling the actuarial science and the mathematical finance approaches to pricing a default-risky catastrophe reinsurance contract.
Carolyn W. Chang, Jack S. K. Chang
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Government spending shocks and default risk in emerging markets. [PDF]
PLoS One, 2023 Jiang M, Li J.
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The application of structural and machine learning models to predict the default risk of listed companies in the Iranian capital market. [PDF]
PLoS One, 2023 Peykani P +4 more
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Default risk prediction and feature extraction using a penalized deep neural network. [PDF]
Stat Comput, 2022 Lin C, Qiao N, Zhang W, Li Y, Ma S.
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