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...

In this paper we present a novel Bayesian approach for default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula theory. Balance sheet data are used to asses the firm value and to compute its default probability. The firm pricing function is obtained via a pair copula approach, and Monte Carlo simulations are used to calculate the default...

In this paper, we study the relationship between default probability and stock returns. Using the market-based measure of Expected Default Frequency— (EDF—) constructed by Moody’s KMV, we first demonstrate that higher default probabilities are not necessarily associated with higher expected stock returns, a finding that complements the existing empirical evidence. We then show that the puzzling...

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 II’s 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...