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Marek Gruszczynski
The paper discusses methodological topics of bankruptcy prediction modelling?unbalanced sampling, sample bias, and unbiased predictions of bankruptcy. Bankruptcy models are typically estimated with the use of non-random samples, which creates sample choi...
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Ani Qankova Stoykova, Mariya Georgieva Paskaleva, Dinko Zhulien Stoykov
Pág. 129 - 153
This paper examines the impact of sentiment indicators on the financial market dynamics and default probability. First, we use GARCH models and Granger Causality Test in order to test the relationship between sentiment indicators and capital market dynam...
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Denise Benetti Ramirez,Francis Carlo Petterini
Pág. 135 - 166
The article deals with two subjects rarely intersecting in the literature: risk of default and development banks. As risk management is critical to maximizing profit in commercial banks, there are many analyzes of this type. But perhaps because the devel...
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Adithi Ramesh,C.B Senthil Kumar
Pág. 609 - 612
Credit Risk modeling has been a subject of considerable research interest for finance and statistical researchers. The quantification of credit risk by assigning measurable and comparable numbers to the likelihood of default or spread risk is a major fro...
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Mustapha Ammari,Ghizlane Lakhnati
Pág. 779 - 785
The Basel Committee offers banks the opportunity to estimate Loss Given Default (LGD) if they wish to calculate their own value for the capital required to cover credit losses. The flexibility to determine LGD values tailored to a bank?s portfolio will l...
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