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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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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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Stress testing of probability of default of individuals [PDF]
Prague Economic Papers, 2008 This paper introduces a model for stress testing of probability of default of individuals. The model rests on assumption that the individual defaults if his savings fall below zero. The probability of default is then described as a function of several macroeconomic indicators, such as wages, unemployment and interest rates.
Petr Kadeřábek +2 more
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Die Hard: Probability of Default and Soft Information [PDF]
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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Updating the Option Implied Probability of Default Methodology [PDF]
SSRN Electronic Journal, 2014 In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically.
Vilsmeier, Johannes
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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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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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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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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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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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