Default probability estimation in small samples—with an application to sovereign bonds
نویسندگان
چکیده
منابع مشابه
A Default Probability Estimation Model: An Application to Japanese Companies
On the assumption that asset value of a company is the sum of total market value of stock and debt value, we estimate a mean value and variance of the sum with the first moment and second moment. We also assume a new variable for which fluctuation during an evaluation period conforms to these moments and follows geometric Brownian motion. Then we construct a default probability estimation model...
متن کاملDelphi application in solicitation of qualitative risk factors for estimation of a perceived probability of default: Case of Karafarin Bank
Unreliability of financial statements in Iran has urged this country’s financial services industry management to manipulate practices by which they could gain reliable risk scores for borrowers. This research extracts the most influential qualitative factors that would impact the default of a business relationship borrower. Solicitation of the factors is done through Delphi methodology. The mea...
متن کاملA Default Probability Estimation Model:
On the assumption that asset value of a company is the sum of the total amount of current price of stock and debt value, estimation was made with the first moment and second moment concerning a mean value and variance of the sum. We also assume a new variable for which fluctuation during an evaluation period conforms to these moments and follow geometric Brownian motion. Then we construct a def...
متن کاملPredicting Sovereign Default
With the financial crises ongoing in Greece and Venezuela, sovereign debt crises have become more and more prominent in the public eye. Thus, it has become important to be able to predict when nations will enter such debt crises. We collected publicly available data in order to train models to predict, given a nation’s economic status in one year, whether they would be in a debt crisis the next...
متن کاملOptimal sovereign default
When is it optimal for a government to default on its legal repayment obligations? We answer this question for a small open economy with domestic production risk in which contracting frictions make it optimal for the government to finance itself by issuing non-contingent debt. We show that Ramsey optimal policies occasionally deviate from the legal repayment obligation and repay debt only parti...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2013
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2013.792436