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Default probabilities in a corporate bank portfolio: A logistic model approach

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Cited by:

  1. Suzan Hol, 2006. "The influence of the business cycle on bankruptcy probability," Discussion Papers 466, Statistics Norway, Research Department.
  2. Justin Sirignano & Kay Giesecke, 2019. "Risk Analysis for Large Pools of Loans," Management Science, INFORMS, vol. 65(1), pages 107-121, January.
  3. McCann, Fergal & McIndoe-Calder, Tara, 2012. "Determinants of SME Loan Default: The Importance of Borrower-Level Heterogeneity," Research Technical Papers 06/RT/12, Central Bank of Ireland.
  4. Jakubik, Petr & Moinescu, Bogdan, 2015. "Assessing optimal credit growth for an emerging banking system," Economic Systems, Elsevier, vol. 39(4), pages 577-591.
  5. Evžen Kočenda & Ichiro Iwasaki, 2022. "Bank survival around the world: A meta‐analytic review," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 108-156, February.
  6. Justin A. Sirignano & Gerry Tsoukalas & Kay Giesecke, 2016. "Large-Scale Loan Portfolio Selection," Operations Research, INFORMS, vol. 64(6), pages 1239-1255, December.
  7. Karin Jõeveer, 2016. "Does Bank Failure Affect Client Firms? Micro Evidence from Estonia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 15(3), pages 310-332, December.
  8. repec:zbw:bofitp:2004_021 is not listed on IDEAS
  9. Bhimani, Alnoor & Gulamhussen, Mohamed Azzim & Lopes, Samuel Da-Rocha, 2010. "Accounting and non-accounting determinants of default: An analysis of privately-held firms," Journal of Accounting and Public Policy, Elsevier, vol. 29(6), pages 517-532, November.
  10. Iman Aghaei & Amin Sokhanvar, 2020. "Factors influencing SME owners’ continuance intention in Bangladesh: a logistic regression model," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 10(3), pages 391-415, September.
  11. Alberto Tron & Maurizio Dallocchio & Salvatore Ferri & Federico Colantoni, 2023. "Corporate governance and financial distress: lessons learned from an unconventional approach," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 27(2), pages 425-456, June.
  12. Dawen Yan & Guotai Chi & Kin Keung Lai, 2020. "Financial Distress Prediction and Feature Selection in Multiple Periods by Lassoing Unconstrained Distributed Lag Non-linear Models," Mathematics, MDPI, vol. 8(8), pages 1-27, August.
  13. Fernando García & Francisco Guijarro & Ismael Moya, 2013. "Monitoring credit risk in the social economy sector by means of a binary goal programming model," Service Business, Springer;Pan-Pacific Business Association, vol. 7(3), pages 483-495, September.
  14. Barro, Diana & Basso, Antonella, 2010. "Credit contagion in a network of firms with spatial interaction," European Journal of Operational Research, Elsevier, vol. 205(2), pages 459-468, September.
  15. Peresetsky, A. A., 2011. "What factors drive the Russian banks license withdrawal," MPRA Paper 41507, University Library of Munich, Germany.
  16. Lili Li & Jun Yang & Xin Zou, 2016. "A study of credit risk of Chinese listed companies: ZPP versus KMV," Applied Economics, Taylor & Francis Journals, vol. 48(29), pages 2697-2710, June.
  17. Lu, Yang-Cheng & Shen, Chung-Hua & Wei, Yu-Chen, 2013. "Revisiting early warning signals of corporate credit default using linguistic analysis," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 1-21.
  18. Zhang, Xiaoyan & Zhu, Shanying & He, Jianping & Yang, Bo & Guan, Xinping, 2019. "Credit rating based real-time energy trading in microgrids," Applied Energy, Elsevier, vol. 236(C), pages 985-996.
  19. Lukasz Prorokowski, 2016. "Bankrupt UK cities: PD model for credit risk in sub-sovereign sector," Bank i Kredyt, Narodowy Bank Polski, vol. 47(6), pages 495-528.
  20. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
  21. H J Jeon & S Y Sohn, 2008. "The risk management for technology credit guarantee fund," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(12), pages 1624-1632, December.
  22. Yu Zhao & Huaming Du & Qing Li & Fuzhen Zhuang & Ji Liu & Gang Kou, 2022. "A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective," Papers 2211.14997, arXiv.org, revised May 2023.
  23. Theodore Metaxas & Athanasios Romanopoulos, 2023. "A Literature Review on the Financial Determinants of Hotel Default," JRFM, MDPI, vol. 16(7), pages 1-19, July.
  24. Anatoly Peresetsky & Alexandr Karminsky & Sergei Golovan, 2011. "Probability of default models of Russian banks," Economic Change and Restructuring, Springer, vol. 44(4), pages 297-334, November.
  25. Goriunov Dmytro & Venzhyk Katerina, 2013. "Loan Default Prediction in Ukrainian Retail Banking," EERC Working Paper Series 13/07e, EERC Research Network, Russia and CIS.
  26. Francesco Dainelli & Francesco Giunta & Fabrizio Cipollini, 2013. "Determinants of SME credit worthiness under Basel rules: the value of credit history information," PSL Quarterly Review, Economia civile, vol. 66(264), pages 21-47.
  27. Muhammad Shahzad Ijaz & Ahmed Imran Hunjra & Rauf I Azam, 2017. "Forewarning Bankruptcy: An Indigenous Model for Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(4), pages 259-286, December.
  28. fernández, María t. Tascón & gutiérrez, Francisco J. Castaño, 2012. "Variables y Modelos Para La Identificación y Predicción Del Fracaso Empresarial: Revisión de La Investigación Empírica Reciente," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 15(1), pages 7-58.
  29. Zhou Lu & Zhuyao Zhuo, 2021. "Modelling of Chinese corporate bond default – A machine learning approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(5), pages 6147-6191, December.
  30. Yuanxin Liu & FengYun Li & Xinhua Yu & Jiahai Yuan & Dong Zhou, 2018. "Assessing the Credit Risk of Corporate Bonds Based on Factor Analysis and Logistic Regress Analysis Techniques: Evidence from New Energy Enterprises in China," Sustainability, MDPI, vol. 10(5), pages 1-21, May.
  31. Marianna SUCCURRO & Lidia MANNARINO, 2014. "The Impact Of Financial Structure On Firms’ Probability Of Bankruptcy: A Comparison Across Western Europe Convergence Regions," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 14(1), pages 81-94.
  32. T H Moon & S Y Sohn, 2011. "Survival analysis for technology credit scoring adjusting total perception," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(6), pages 1159-1168, June.
  33. Özgür Arslan & Mehmet Baha Karan, 2009. "Credit risks and internationalization of SMEs," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 10(4), pages 361-368, September.
  34. Anatoly Peresetsky & Alexandr Karminsky & Sergei Golovan, 2011. "Probability of default models of Russian banks," Economic Change and Restructuring, Springer, vol. 44(4), pages 297-334, November.
  35. Пересецкий А.А., 2007. "Методы Оценки Вероятности Дефолта Банков," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 43(3), июль.
  36. Moon, Tae Hee & Sohn, So Young, 2008. "Technology scoring model for reflecting evaluator's perception within confidence limits," European Journal of Operational Research, Elsevier, vol. 184(3), pages 981-989, February.
  37. Lee, Tian-Shyug & Chiu, Chih-Chou & Chou, Yu-Chao & Lu, Chi-Jie, 2006. "Mining the customer credit using classification and regression tree and multivariate adaptive regression splines," Computational Statistics & Data Analysis, Elsevier, vol. 50(4), pages 1113-1130, February.
  38. Bhimani, Alnoor & Gulamhussen, Mohamed Azzim & Lopes, Samuel, 2009. "The effectiveness of the auditor's going-concern evaluation as an external governance mechanism: Evidence from loan defaults," The International Journal of Accounting, Elsevier, vol. 44(3), pages 239-255, September.
  39. Fábio Dias Duarte & Ana Paula Matias Gama & Mohamed Azzim Gulamhussen, 2018. "Defaults in bank loans to SMEs during the financial crisis," Small Business Economics, Springer, vol. 51(3), pages 591-608, October.
  40. Karin Joeveer, 2004. "Does bank failure affect client firms? Micro evidence from Estonia," CERGE-EI Working Papers wp224, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
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