This paper studies the relationship between financing structure and probability of default A-share listed companies from 2001 to 2020. The purpose is prevent occurrence ensure healthy development various industries. It found that higher proportion external is, is. impact debt on risk than equity financing. In addition, this tests mediating effect cash flow risk, heterogeneous among regions ente...

Corporate probability of default (PD) prediction is vitally important for risk management and asset pricing. In search accurate PD prediction, we propose a flexible yet easy-to-interpret default-prediction single-index hazard model (DSI). By applying it to comprehensive U.S. corporate bankruptcy database constructed, discover an interesting V-shaped relationship, indicating violation the common...

Penelitian ini bertujuan untuk menganalisis pengaruh profil risiko kredit, target pertumbuhan kredit dan makro ekonomi (PDB, nilai tukar inflasi) terhadap probabilitas gagal bayar dalam menghasilkan ekspektasi kerugian sebagai diatur PSAK 71. dilakukan di PT Bank X selama pengamatan tahun 2016-2021 dengan analisis regresi linier berganda. Hasil penelitian menyatakan berpengaruh positif signifik...

First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to allow a fluctuating default threshold or equivalently a fluctuating total recovery fraction R. For a given company a particular type of debt has a recovery fract...

A logic is defined which in addition to propositional calculus contains several types of probabilistic operators which are applied only to propositional formulas. For every s ∈ S, where S is the unit interval of a recursive nonarchimedean field, an unary operator P≥s(α) and binary operators CP=s(α, β) and CP≥s(α, β) (with the intended meaning ”the probability of α is at least s”, ”the condition...

Survival analysis can be applied to build models for time of default on debt. In this paper we report an application of survival analysis to model default on a large data set of credit card accounts. We show that survival analysis is competitive for prediction of default in comparison with logistic regression. We explore the hypothesis that probability of default is affected by general conditio...

Credit risk estimation is a key determinant for the success of financial institutions. The aim of this paper is presenting a new hybrid model for estimating the probability of default of corporate customers in a commercial bank. This hybrid model is developed as a combination of Logit model and Neural Network to benefit from the advantages of both linear and non-linear models. For model verific...

This study aims to analyze financial distress conditions using the Ohlson model in SOEs Non-Financial Sector for 2017-2020 year performance period. The object of analysis is non-financial and banking registered under Ministry SOEs. results are: 1) aggregate probability default all has increased from 2017 2020; 2) highest increase Probability Default 2020 compared 2019; 3) Tourism are sectors th...