نتایج جستجو برای: probability of default
تعداد نتایج: 21172487 فیلتر نتایج به سال:
This paper develops a methodology for modeling and estimating expected loss over arbitrary horizons. We jointly model the probability of default and the recovery rate given default. Different model specifications are estimated using an extensive default and recovery data set that contains the majority of defaults between 1980–2004 of AMEX, NYSE and NASDAQ listed companies. We undertake extensiv...
Credit risk models are used by financial companies to evaluate in advance the insolvency risk caused by credits that enter into default. Many models for credit risk have been developed over the past few decades. In this paper, we focus on those models that can be formulated in terms of the probability of default by using survival analysis techniques. With this objective three different mechanis...
On the assumption that asset value of a company is the sum of total market value of stock and debt value, we estimate a mean value and variance of the sum with the first moment and second moment. We also assume a new variable for which fluctuation during an evaluation period conforms to these moments and follows geometric Brownian motion. Then we construct a default probability estimation model...
Based on the idea of KMV model to build China's local government debt credit risk model, and associate the credit risk with borrowing scale to put forward the moderate debt scale of local government. Studies show that: The credit risks of local government debt is very sensitive to debt scale, When debt scale increases to a certain extent, the government’s default probability will rise sharply, ...
The most widely-used econometric technique for analyzing default behavior in consumer credit markets is the proportional hazard model, which assumes that borrower characteristics increase or decrease default probability in a similar way over the life of a loan. In this paper, I employ an alternative method using censored quantile regression (Portnoy (2003)) on a data set of over 17,000 loans. T...
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