This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of testing our approach on Deutsche Bundesbank data. In particular we discuss the selection of variables...

Hedge funds have the most sophisticated risk management practices; however, hedge funds also appear to have a short lifetime relative to other managed funds. In this study, we investigate the failure probabilities of hedge funds—particularly the failures due to financial distress. We forecast the failure probabilities of hedge funds using both a proportional hazard model and a logistic model. B...

Financial constraints have been found to play an important role on various aspects of firm behavior. Yet, their effects on firm survival have been largely neglected. We use a panel of 9420 newly established UK firms over the period 1997-2002 to study the effects of financial variables on firms’ failure probabilities, differentiating firms into globally engaged and purely domestic. Estimating a ...

We analyze an exchange economy of unsecured credit where borrowers have the option to declare bankruptcy in which case they are temporarily excluded from financial markets. Endogenous credit limits are imposed that are just tight enough to prevent default. Economies with temporary exclusion differ from their permanent exclusion counterparts in two important properties. If households are extreme...

An evaluation problem exists when winding up executory contracts in case of insolvency. The trustee has difficulties in accurately considering the claim for damages that arises if he chooses to reject a contract instead of accepting it. An unequal treatment of creditors and inefficiencies follow. However, a simple reform can solve this problem. If an executory contract is accepted by the truste...

Despite many past papers concerning a …rm’s capital structure, the valuation of debt and equity and cost of capital, there are few that explicitly codify contingent sharing rules for the …rm’s cash‡ow over time. We motivate equity and debt valuation by modeling tax and distress costs using cap and ‡oor technology as well as a default option at maturity. This approach sheds light on theoretical ...

Financial constraints have been found to play an important role on various aspects of firm behavior. Yet, their effects on firm survival have been largely neglected. We use a panel of 61496 UK firms over the period 19972002 to study the effects of financial variables on firms’ failure probabilities, differentiating firms into globally engaged and purely domestic. Estimating a wide range of spec...

سابقه و هدف: آب هوای یک منطقه در دوره بلندمدت را اقلیم گویند. شناسایی طبقه‌بندی اقلیمی از دیرباز مورد توجه متخصصان هواشناسی بوده است. محققان با به کارگیری روش ­های مختلف استفاده متغیرهای همچون بارش دما، زمین مناطق همگن طبقه ­بندی کرده‌اند نتایج پهنه‌بندی ارزیابی کمبود منابع مقیاس­ های کوچک بزرگ منظور پیش‌بینی اقدامات عملی برای کنترل خشکی آسیب‌پذیر به‌کار برده‌اند. هدف این تحقیق به‌‌روزرسانی تحل...

In this research, the properties of bismuth potassium titanate modified by nickel ceramics were investigated. XRD showed that all samples exhibited a single perovskite structure. The crystal structure changed from tetragonal to cubic phase with increasing modifier content. Average grain size decreased while bulk density and hardness increased modifier. improvement mechanical was related change ...