Results 1 to 10 of about 149,471 (190)
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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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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On the Probabilities of Correlated Defaults: a First Passage Time Approach
Nonlinear Analysis, 2008 This article investigates the joint probability of correlated defaults in the first passage time approach of credit risk subject to condition that the underlying firms’ assets values and the default boundaries follow geometric Brownian motion processes ...
M. Valužis
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Modelling examples of loss given default and probability of default [PDF]
, 2011 The Basel II accord regulates risk and capital management requirements to ensure that a bank holds enough capital proportional to the exposed risk of its lending practices. Under the advanced internal ratings based (IRB) approach, Basel II allows banks to develop their own empirical models based on historical data for probability of default (PD), loss ...
Jie Zhang
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Predicting probability of default of Indian companies: A market based approach
Theoretical and Applied Economics, 2016 The paper models default probabilities for Indian companies in Black-Scholes- Metron (BSM) framework. The objective Probability of Default (PD) estimates are found to be higher for firms registered with Board of Industrial and Financial Reconstruction ...
Bhanu Pratap SINGH, Alok Kumar MISHRA
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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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