Optimal diversification, bank value maximization and default probability
نویسندگان
چکیده
منابع مشابه
Corporate Diversification, Value Maximization, and Organizational Capabilities*
Corporate diversification is widely believed to be inefficient. It runs against one of the oldest ideas in economics, that specialization is productive. A popular explanation for its prevalence is that firms are plagued with agency problems that allow managers to enter new businesses (from which they privately benefit) at the expense of shareholders. However, the empirical evidence suggests tha...
متن کاملEstimating bank default with generalised extreme value regression models
This paper proposes a novel model for the prediction of bank failures, on the basis of both macroeconomic and bank-specific microeconomic factors. As bank failures are rare, in the paper we apply a regression method based on extreme value theory, which turns out to be more effective than classical logistic regression models, as it better leverages the information in the tail of the default dist...
متن کاملEstimating bank default with generalised extreme value models
This paper considers the joint role of macroeconomic and bankspecific factors in explaining the occurrence of bank failures. As bank failures are, fortunately, rare, we apply a regression model, based on extreme value theory, that turns out to be more effective than classical logistic regression models. The application of this model to the occurrence of bank defaults in Italy shows that, while ...
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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 کاملDefault Risk and Diversification: Theory and Applications*
Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity’s diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk pre...
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ژورنال
عنوان ژورنال: Applied Economics
سال: 2015
ISSN: 0003-6846,1466-4283
DOI: 10.1080/00036846.2015.1008766