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Analyzing the Effect of Dividends on Default Probability According to Signaling and Agency Theories [PDF]
تحقیقات مالیObjectiveThe probability of default is one factor that determines the cost of capital due to its role in credit risk. Dividend as a sign of cash flow or as a sign of ownership of wealth is one of the factors affecting the probability of default.
Alireza Najjarpour +2 more
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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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DMDP: A Dynamic Multi-source Default Probability Prediction Framework
Data Science and Engineering, 2019 In this paper, we propose a dynamic forecasting framework, named DMDP (dynamic multi-source default probability prediction), to predict the default probability of a company.
Yi Zhao, Yanyan Shen, Yong Huang
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LOGISTIC REGRESSION AS A TOOL FOR DETERMINATION OF THE PROBABILITY OF DEFAULT FOR ENTERPRISES [PDF]
Buletin ştiinţific: Universitatea din Piteşti. Seria Ştiinţe Economice, 2017 In a rapidly changing world it is necessary to adapt to new conditions. From a day to day approaches can vary. For the proper management of the company it is essential to know the financial situation.
Erika SPUCHLAKOVA, Maria KOVACOVA
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Validation of Default Probabilities [PDF]
Journal of Financial and Quantitative Analysis, 2011 AbstractWell-performing default predictions show good discrimination and calibration. Discrimination is the ability to separate defaulters from nondefaulters. Calibration is the ability to make unbiased forecasts. I derive novel discrimination and calibration statistics to verify forecasts expressed in terms of probability under dependent observations.
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DeReMa (Development Research of Management): Jurnal Manajemen, 2020 The purpose of this research is to analyze the influence of financial ratios (Return on Equity, Current Ratio, Debt to Equity Ratio, Total Assets Turnover) in predicting the probability of default. The samples in this study were 22 companies.
Dessy Malasari +3 more
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Comparison of Default Probability Models: Russian Experience [PDF]
SSRN Electronic Journal, 2012 Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the macroeconomic and institutional characteristics of the ...
Alexander Karminsky +2 more
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Mathematics, 2022 For a fixed time, t, and a horizon time, b, the probability of default (PD) measures the probability that an obligor, that has paid his/her credit until time t, runs into arrears not later that time t+b.
Rebeca Peláez +2 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.
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Bayesian Estimation of Probabilities of Default for Low Default Portfolios [PDF]
SSRN Electronic Journal, 2012 The estimation of probabilities of default (PDs) for low default portfolios by means of upper confidence bounds is a well-established procedure in many financial institutions. However, there are often discussions within the institutions or between institutions and supervisors about which confidence level to use for the estimation.
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