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Dean Fantazzini
In this paper, we analyzed a dataset of over 2000 crypto-assets to assess their credit risk by computing their probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close-to-close prices, the da...
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Jingxue Wang, Xiao Dong and Guangwei Liu
The accuracy of point cloud processing results is greatly dependent on the determination of the voxel size and shape during the point cloud voxelization process. Previous studies predominantly set voxel sizes based on point cloud density or the size of g...
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Micah Lourdes Felix and Kwansue Jung
Precipitation is a significant input variable required in hydrological models such as the Soil & Water Assessment Tool (SWAT). The utilization of inaccurate precipitation data can result in the poor representation of the true hydrologic conditions of...
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Michael Jacobs, Jr.
In this study, we consider the construction of through-the-cycle (?TTC?) PD models designed for credit underwriting uses and point-in-time (?PIT?) PD models suitable for early warning uses, considering which validation elements should be emphasized in ea...
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Nomaphelo Soga,Lawrence Obokoh,Darlington P. Onojaefe,Wilfred Isioma Ukpere
Pág. 76 - 90
The risk that a borrower may not fulfill his/her borrowing obligation presents the credit owner (lender) a default risk management opportunity to maximize the risk-adjusted rate of return and to maintain minimum exposure to default associated cost. ...
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Olga Ovchelupova
Pág. 106 - 114
The article is devoted to the study of theoretical and methodological bases and the development of practical recommendations for assessing the creditworthiness of a borrower of a commercial bank. The subject of the study is a set of theoretical, methodol...
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Musdholifah Musdholifah,Ulil Hartono,Yulita Wulandari
Pág. 124 - 131
Many studies have been conducted in connection with revealing the determinants of a banking crisis but nothing addresses the exact causes of the crisis. This study aims at developing a model to discern a banking crisis prediction using Crisis and Default...
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Giuseppe Orlando and Roberta Pelosi
Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance....
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Habib-ur Rahman, Muhammad Waqas Yousaf and Nageena Tabassum
This study aims to examine the effect of the bank-specific and macroeconomic determinants of profitability for the banking sector of Pakistan. To incorporate the issues of endogeneity, unobserved heterogeneity, and profit persistence, we apply a generali...
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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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