منابع مشابه
A 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 کاملConditional Default Probability and Density
This paper is dedicated to our friend Marek, for his birthday. Two of us know Marek since more than 20 years, when we embarked in the adventure of Mathematics for Finance. Our paths diverged, but we always kept strong ties. Thank you, Marek, for all the fruitful discussions we have had. We hope you will find some interest in this paper and the modeling of credit risk we present, and we are look...
متن کاملConditional Probability of Default Methodology
This paper presents the Conditional Probability of Default (CoPoD) methodology for modelling the probabilities of loan defaults (PoDs) by small and medium size enterprises (SMEs) and unlisted firms as functions of identifiable macroeconomic and financial variables. The process of modelling PoDs represents a challenging task, since the time series of PoDs usually contain few observations, thus m...
متن کاملThe Probability Approach to Default Probabilities
The probability approach to uncertainty and modeling is applied to default probability estimation. This issue has attracted attention as banks contemplate the requirements of Basel IIs IRB rules. Nicholas M. Kiefer proposes the fomal introduction of expert information into quantitative analysis. An application treating the incorporation of expert information on the default probability is consi...
متن کاملPredicting and Pricing the Probability of Default
In this paper we study how corporate bond defaults can be predicted using financial ratios and how the forecasted probability of default relates to the cross-section of expected stock returns. Using several performance measures we find that the duration model outperforms existing models in correctly classifying both Default and Non-Default firms. Using the default probabilities predicted by our...
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ژورنال
عنوان ژورنال: Cognitive Science
سال: 1991
ISSN: 0364-0213
DOI: 10.1016/0364-0213(91)80007-r