Results 11 to 20 of about 736,304 (285)
Estimating credit default probabilities using stochastic optimisation
Data Science in Finance and Economics, 2021 Banks and financial institutions all over the world manage portfolios containing tens of thousands of customers. Not all customers are high credit-worthy, and many possess varying degrees of risk to the Bank or financial institutions that lend money to ...
Dominic Joseph
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Axioms, 2023 When predicting the defaults of a large number of samples in a region, this will be affected by industry default heterogeneity. To build a credit risk model that is more suitable for Chinese-listed firms, which have highly industry-specific default ...
Zhengfang Ni, Minghui Jiang, Wentao Zhan
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Economies, 2022 Using stepwise logistic regression models, the study aims to separately detect and explain the determinants of default probability for unaudited and audited small-to-medium enterprises (SMEs) under stressed conditions in Zimbabwe.
Frank Ranganai Matenda, Mabutho Sibanda
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MACRO-FINANCIAL DETERMINANTS OF DEFAULT PROBABILITY USING COPULA: A CASE STUDY OF INDONESIAN BANKS
Buletin Ekonomi Moneter dan Perbankan, 2023 We investigate the default probability of Indonesian banks using the copula approach and analyze the macro-financial factors that drive them. We use quarterly data comprised of 80 banks from 2005 to 2019.
Maulana Harris Muhajir +2 more
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Effect of rollover risk on default risk: evidence from bank financing [PDF]
, 2017 We study the effect of rollover risk on the risk of default using a comprehensive database of U.S. industrial firms during 1986–2013. Dependence on bank financing is the key driver of the impact of rollover risk on default risk. Default risk and rollover
Chiu, Wan-Chien +2 more
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Assessment of Support Vector Machine performance for default prediction and credit rating [PDF]
Banks and Bank Systems, 2022 Predicting the creditworthiness of bank customers is a major concern for banking institutions, as modeling the probability of default is a key focus of the Basel regulations.
Karim Amzile, Mohamed Habachi
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Estimating Probabilities of Default for Low Default Portfolios [PDF]
SSRN Electronic Journal, 2004 For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in terms of probabilities of default (PD) that should incorporate a certain degree of conservatism in order to reflect ...
Katja Pluto, Dirk Tasche
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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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The supreme subprime myth: the role of bad loans in the 2007-2009 financial crisis
PSL Quarterly Review, 2012 Using simulations, we show that the probability of default and losses given default of subprime mortgage loans are small in comparison to their interest rates. The implication is that these loans are profitable for risk neutral efficient banks.
Alberto Niccoli, Francesco Marchionne
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Does corporate R&D investment support to decrease of default probability of Asian firms?
Borsa Istanbul Review, 2019 This paper examines the nature of the relationship between corporate R&D investment and the probability of default. Existing evidence on the topic is varied and often conflicting due to its complexity.
Victoria Cherkasova, Alena Kurlyanova
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