Results 11 to 20 of about 160,871 (306)
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 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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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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Default Probabilities and Default Correlations Under Stress [PDF]
SSRN Electronic Journal, 2014 We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions encompassing many distributions commonly found in financial modelling.
Packham, Natalie +2 more
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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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Die Hard: Probability of Default and Soft Information
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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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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Matrik, 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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