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A Merton-model approach to assessing the default risk of UK public companies

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Cited by:

  1. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
  2. Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda & McCarten, Matthew & Tan, Eric K.M., 2023. "Climate transition risk in U.S. loan portfolios: Are all banks the same?," International Review of Financial Analysis, Elsevier, vol. 85(C).
  3. Thiago Christiano Silva & Marcos Soares da Silva & Benjamin Miranda Tabak, 2015. "Liquidity Performance Evaluation of the Brazilian Interbank Market using a Network-Based Approach," Working Papers Series 401, Central Bank of Brazil, Research Department.
  4. Jackson, Richard H.G. & Wood, Anthony, 2013. "The performance of insolvency prediction and credit risk models in the UK: A comparative study," The British Accounting Review, Elsevier, vol. 45(3), pages 183-202.
  5. repec:zbw:bofrdp:2004_018 is not listed on IDEAS
  6. Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda, 2023. "In search of climate distress risk," International Review of Financial Analysis, Elsevier, vol. 85(C).
  7. Dale F. Gray & Carlos J. García & Leonardo Luna & Jorge E. Restrepo, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 6, pages 159-197, Central Bank of Chile.
  8. Alexandros Benos & George Papanastasopoulos, 2005. "Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Finance 0505020, University Library of Munich, Germany, revised 18 Nov 2005.
  9. Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya, 2008. "Financial Stability of the Turkish Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 2(1), pages 9-26.
  10. Vera Palea & Federico Drogo, 2020. "Carbon emissions and the cost of debt in the eurozone: The role of public policies, climate‐related disclosure and corporate governance," Business Strategy and the Environment, Wiley Blackwell, vol. 29(8), pages 2953-2972, December.
  11. Tao Sun, 2011. "Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework," IMF Working Papers 2011/111, International Monetary Fund.
  12. Daniel Oda, 2013. "Introducing Liquidity Risk in the Contingent-Claim Analysis for the Banks," Working Papers Central Bank of Chile 681, Central Bank of Chile.
  13. Philipp Matros & Johannes Vilsmeier, 2013. "The Multivariate Option iPoD Framework - Assessing Systemic Financial Risk," Working Papers 143, Bavarian Graduate Program in Economics (BGPE).
  14. Robert Kelly & Eoin Brien & Rebecca Stuart, 2015. "A long-run survival analysis of corporate liquidations in Ireland," Small Business Economics, Springer, vol. 44(3), pages 671-683, March.
  15. Andrikopoulos, Panagiotis & Khorasgani, Amir, 2018. "Predicting unlisted SMEs' default: Incorporating market information on accounting-based models for improved accuracy," The British Accounting Review, Elsevier, vol. 50(5), pages 559-573.
  16. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
  17. Felipe Zurita L., 2008. "Bankruptcy Prediction for Chilean Companies," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(1), pages 93-116, April.
  18. Mr. Leonardo Luna & Mr. Dale F Gray & Jorge Restrepo & Carlos Garcia, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," IMF Working Papers 2011/228, International Monetary Fund.
  19. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
  20. Petr Jakubík, 2006. "Does Credit Risk Vary with Economic Cycles? The Case of Finland," Working Papers IES 2006/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2006.
  21. Petru Tunde Petra & Farkas Dalma - Zsuzsa & Furdek Balazs - Marton & Marton Noemi, Racz Timea Erzsebet, 2011. "Empirical Study Of The Probability Of Default In Case Of Romanian Companies Listed On Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 515-523, July.
  22. Palea, Vera & Drogo, Federico, 2020. "Carbon Emissions and the Cost of Debt Financing: What Role for Policy Commitment, Firm Disclosure and Corporate Governance?," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202002, University of Turin.
  23. Javier Gutiérrez Rueda, 2010. "Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes," Temas de Estabilidad Financiera 046, Banco de la Republica de Colombia.
  24. Nora Gavira-Durón & Octavio Gutierrez-Vargas & Salvador Cruz-Aké, 2021. "Markov Chain K-Means Cluster Models and Their Use for Companies’ Credit Quality and Default Probability Estimation," Mathematics, MDPI, vol. 9(8), pages 1-14, April.
  25. Virolainen, Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Bank of Finland Research Discussion Papers 18/2004, Bank of Finland.
  26. Daniel Ramos-García & Carmen López-Martín & Raquel Arguedas-Sanz, 2023. "Climate transition risk in determining credit risk: evidence from firms listed on the STOXX Europe 600 index," Empirical Economics, Springer, vol. 65(5), pages 2091-2114, November.
  27. Sun, Tao, 2010. "Identifying Vulnerabilities in Systemically Important Financial Institutions in a Macro-Financial Linkages Framework," The Journal of Economic Asymmetries, Elsevier, vol. 7(2), pages 77-103.
  28. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  29. Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Staff Working Papers 06-28, Bank of Canada.
  30. Adler Haymans Manurung & Derwin Suhartono & Benny Hutahayan & Noptovius Halimawan, 2023. "Probability Bankruptcy Using Support Vector Regression Machines," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(1), pages 1-3.
  31. Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini, 2016. "What do central counterparties default funds really cover? A network-based stress test answer," Papers 1611.03782, arXiv.org.
  32. International Monetary Fund, 2009. "Cyprus: Financial Sector Assessment Program Update: Technical Note: Measuring Banking Stability in Cyprus," IMF Staff Country Reports 2009/171, International Monetary Fund.
  33. Bellalah, Mondher & Zouari, Sami & Levyne, Olivier, 2016. "The performance of hybrid models in the assessment of default risk," Economic Modelling, Elsevier, vol. 52(PA), pages 259-265.
  34. Virolainen, Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
  35. Philip Bunn & Victoria Redwood, 2003. "Company accounts based modelling of business failures and the implications for financial stability," Bank of England working papers 210, Bank of England.
  36. Petr JAKUBÍK, 2007. "Macroeconomic Environment and Credit Risk (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(1-2), pages 60-78, March.
  37. Lanlan Liu & Dan Luo & Liang Han, 2019. "Default risk, state ownership and the cross-section of stock returns: evidence from China," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 933-966, November.
  38. Amir Ahmad Dar & N. Anuradha & Shahid Qadir, 2019. "Estimating probabilities of default of different firms and the statistical tests," Journal of Global Entrepreneurship Research, Springer;UNESCO Chair in Entrepreneurship, vol. 9(1), pages 1-15, December.
  39. Matros, Philipp & Vilsmeier, Johannes, 2014. "The multivariate option iPoD framework: assessing systemic financial risk," Discussion Papers 20/2014, Deutsche Bundesbank.
  40. Mark J Manning, 2004. "Exploring the relationship between credit spreads and default probabilities," Bank of England working papers 225, Bank of England.
  41. Barbedo, Claudio Henrique da Silveira & Lemgruber, Eduardo Facó, 2009. "A down-and-out exchange option model with jumps to evaluate firms' default probabilities in Brazil," Emerging Markets Review, Elsevier, vol. 10(3), pages 179-190, September.
  42. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
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