Results 1 to 10 of about 160,871 (306)
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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Cognitive Science, 1991 A probability may be called “default” if it is neither derived from preestablished probabilities nor based on considerations of frequency or symmetry. Default probabilities presumably arise through reasoning based on causality and similarity. This article advances a model of default probability based on a featural approach to similarity.
Osherson, Daniel N. +4 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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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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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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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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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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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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Default Probabilities and Default Correlations [PDF]
SSRN Electronic Journal, 2001 Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans.
Erlenmaier, Ulrich, Gersbach, Hans
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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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