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Citations for "Multi-period corporate default prediction with stochastic covariates"

by Duffie, Darrell & Saita, Leandro & Wang, Ke

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  1. Nikola A. Tarashev, 2008. "An Empirical Evaluation of Structural Credit-Risk Models," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 1-53, March.
  2. Jacobson, Tor & Kindell, Rikard & Lindé, Jesper & Roszbach, Kasper, 2008. "Firm Default and Aggregate Fluctuations," Working Paper Series 226, Sveriges Riksbank (Central Bank of Sweden).
  3. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 1-16, October.
  4. Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
  5. Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Bank of England working papers 388, Bank of England.
  6. Lyandres, Evgeny & Zhdanov, Alexei, 2013. "Investment opportunities and bankruptcy prediction," Journal of Financial Markets, Elsevier, vol. 16(3), pages 439-476.
  7. Hwang, Ruey-Ching, 2012. "A varying-coefficient default model," International Journal of Forecasting, Elsevier, vol. 28(3), pages 675-688.
  8. Duan, Jin-Chuan & Van Laere, Elisabeth, 2012. "A public good approach to credit ratings – From concept to reality," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3239-3247.
  9. Geert Mesters & Siem Jan Koopman, 2012. "Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time," Tinbergen Institute Discussion Papers 12-009/4, Tinbergen Institute, revised 18 Mar 2014.
  10. Philip Valta, 2011. "Competition and the Cost of Debt," Post-Print hal-00578330, HAL.
  11. Gabriel Jiménez & Steven Ongena & José Luis Peydró & Jesús Saurina, 2009. "Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?," Working Papers 0833, Banco de España;Working Papers Homepage.
  12. Maghyereh, Aktham I. & Awartani, Basel, 2014. "Bank distress prediction: Empirical evidence from the Gulf Cooperation Council countries," Research in International Business and Finance, Elsevier, vol. 30(C), pages 126-147.
  13. Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui, 2015. "Explaining the default risk anomaly by the two-beta model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 16-33.
  14. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
  15. Sanjiv Das, 2007. "Basel II: Correlation Related Issues," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 17-38, October.
  16. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.
  17. Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
  18. Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
  19. Xuyuan Liu & Weimin Miao, 2016. "Default Econometrics and Default Application," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-9.
  20. Magdalena Pisa & Dennis Bams & Christian Wolff, 2012. "Modeling default correlation in a US retail loan portfolio," LSF Research Working Paper Series 12-19, Luxembourg School of Finance, University of Luxembourg.
  21. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  22. Pu, Xiaoling & Zhao, Xinlei, 2012. "Correlation in credit risk changes," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1093-1106.
  23. Löffler, Gunter & Maurer, Alina, 2011. "Incorporating the dynamics of leverage into default prediction," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3351-3361.
  24. Giordani, Paolo & Jacobson, Tor & Schedvin, Erik von & Villani, Mattias, 2014. "Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(04), pages 1071-1099, August.
  25. Christian Koziol & Philipp Koziol & Thomas Schön, 2015. "Do correlated defaults matter for CDS premia? An empirical analysis," Review of Derivatives Research, Springer, vol. 18(3), pages 191-224, October.
  26. Huang, Hsing-Hua & Lee, Han-Hsing, 2013. "Product market competition and credit risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 324-340.
  27. Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008. "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, vol. 142(1), pages 399-424, January.
  28. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  29. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Conditional coverage and its role in determining and assessing long-term capital requirements," Documentos de Trabajo del ICAE 2014-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  30. Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Interacting Default Intensity with Hidden Markov Process," Papers 1603.02902, arXiv.org.
  31. Uysal, Pinar & Yotov, Yoto V. & Zylkin, Thomas, 2015. "Firm heterogeneity and trade-induced layoffs: An empirical investigation," European Economic Review, Elsevier, vol. 75(C), pages 80-97.
  32. Berndt, Antje & Jarrow, Robert A. & Kang, ChoongOh, 2007. "Restructuring risk in credit default swaps: An empirical analysis," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1724-1749, November.
  33. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A Framework for Assessing the Systemic Risk of Major Financial Institutions," BIS Working Papers 281, Bank for International Settlements.
  34. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
  35. Jens Hilscher & Mungo Wilson, 2011. "Credit ratings and credit risk," Working Papers 31, Brandeis University, Department of Economics and International Businesss School.
  36. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
  37. Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
  38. Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
  39. Bart Keijsers & Bart Diris & Erik Kole, 2015. "Cyclicality in Losses on Bank Loans," Tinbergen Institute Discussion Papers 15-050/III, Tinbergen Institute, revised 30 Apr 2016.
  40. Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013. "What determines Euro area bank CDS spreads?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 444-461.
  41. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 2(1), pages 122-122, March.
  42. Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
  43. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2012. "Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 521-532, May.
  44. Tonatiuh Peña & Serafín Martínez & Bolanle Abudu, 2009. "Bankruptcy Prediction: A Comparison of Some Statistical and Machine Learning Techniques," Working Papers 2009-18, Banco de México.
  45. Tsung-Kang Chen & Hsien-Hsing Liao & Hsiao-Chun Huang, 2014. "Macroeconomic risks of supply chain counterparties and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 463-481, October.
  46. Jiminez, G. & Ongena, S. & Saurina, J., 2007. "Hazardous Times for Monetary Policy : What do Twenty-three Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk?," Discussion Paper 2007-75, Tilburg University, Center for Economic Research.
  47. Paolo Giudici & Laura Parisi, 2016. "Bail in or Bail out? The Atlante example from a systemic risk perspective," DEM Working Papers Series 124, University of Pavia, Department of Economics and Management.
  48. Xu, Xin, 2013. "Forecasting Bankruptcy with Incomplete Information," MPRA Paper 55024, University Library of Munich, Germany, revised 31 Mar 2014.
  49. Harada, Kimie & Ito, Takatoshi & Takahashi, Shuhei, 2013. "Is the Distance to Default a good measure in predicting bank failures? A case study of Japanese major banks," Japan and the World Economy, Elsevier, vol. 27(C), pages 70-82.
  50. Konrad Banachewicz & Aad van der Vaart & André Lucas, 2006. "Modeling Portfolio Defaults using Hidden Markov Models with Covariates," Tinbergen Institute Discussion Papers 06-094/2, Tinbergen Institute.
  51. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2012. "On Pricing Basket Credit Default Swaps," Papers 1204.4025, arXiv.org.
  52. Shively, Thomas S. & Walker, Stephen G. & Damien, Paul, 2011. "Nonparametric function estimation subject to monotonicity, convexity and other shape constraints," Journal of Econometrics, Elsevier, vol. 161(2), pages 166-181, April.
  53. Duan, Jin-Chuan & Sun, Jie & Wang, Tao, 2012. "Multiperiod corporate default prediction—A forward intensity approach," Journal of Econometrics, Elsevier, vol. 170(1), pages 191-209.
  54. Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006. "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers 06-023/2, Tinbergen Institute.
  55. Paolo Giudici & Laura Parisi, 2015. "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series 110, University of Pavia, Department of Economics and Management.
  56. Simon Gilchrist & Jae W. Sim & Egon Zakrajšek, 2012. "Misallocation and Financial Frictions: Some Direct Evidence From the Dispersion in Borrowing Costs," NBER Working Papers 18550, National Bureau of Economic Research, Inc.
  57. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Forecasting Distress in European SME Portfolios," MPRA Paper 53572, University Library of Munich, Germany.
  58. Fougère, D. & Golfier, C. & Horny, G. & Kremp, E., 2013. "What has been the impact of the 2008 crisis on firms’ default? (in French)," Working papers 463, Banque de France.
  59. repec:onb:oenbwp:y::i:152:b:1 is not listed on IDEAS
  60. Gunter Löffler & Alina Maurer, 2009. "Incorporating the Dynamics of Leverage into Default Prediction," SFB 649 Discussion Papers SFB649DP2009-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  61. Vasso Ioannidou & Steven Ongena & José-Luis Peydró, 2015. "Monetary Policy, Risk-Taking, and Pricing: Evidence from a Quasi-Natural Experiment," Review of Finance, European Finance Association, vol. 19(1), pages 95-144.
  62. Naifar, Nader, 2011. "What explains default risk premium during the financial crisis? Evidence from Japan," Journal of Economics and Business, Elsevier, vol. 63(5), pages 412-430, September.
  63. Voß, Sebastian & Weißbach, Rafael, 2014. "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, vol. 180(1), pages 16-29.
  64. Aigbe Akhigbe & Jeff Madura & Anna Martin, 2015. "Intra-industry effects of negative stock price surprises," Review of Quantitative Finance and Accounting, Springer, vol. 45(3), pages 541-559, October.
  65. Wikil Kwak & Yong Shi & Gang Kou, 2012. "Bankruptcy prediction for Korean firms after the 1997 financial crisis: using a multiple criteria linear programming data mining approach," Review of Quantitative Finance and Accounting, Springer, vol. 38(4), pages 441-453, May.
  66. Zvika Afik & Ohad Arad & Koresh Galil, 2012. "Using Merton model: an empirical assessment of alternatives," Working Papers 1202, Ben-Gurion University of the Negev, Department of Economics.
  67. Takeaki Kariya & Yoshiro Yamamura & Yoko Tanokura & Zhu Wang, 2015. "Credit Risk Analysis on Euro Government Bonds-Term Structures of Default Probabilities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(4), pages 397-427, November.
  68. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research.
  69. Das, Sanjiv R. & Hanouna, Paul, 2009. "Implied recovery," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1837-1857, November.
  70. Tao Wang, 2016. "Time-Varying Rating Standards and the Distorted Incentives of Credit Rating Agencies," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 21-39.
  71. Ruey-Ching Hwang & Jhao-Siang Siao & Huimin Chung & C. Chu, 2011. "Assessing bankruptcy prediction models via information content of technical inefficiency," Journal of Productivity Analysis, Springer, vol. 36(3), pages 263-273, December.
  72. Shafer, Michael & Yildirim, Yildiray, 2013. "Operational risk and equity prices," Finance Research Letters, Elsevier, vol. 10(4), pages 157-168.
  73. Kasahara, Tetsuya, 2008. "Severity of financing constraints and firms' investments," Review of Financial Economics, Elsevier, vol. 17(2), pages 112-129.
  74. Glaser, Markus & Müller, Sebastian, 2010. "Is the diversification discount caused by the book value bias of debt?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2307-2317, October.
  75. Adam Geršl & Petr Jakubik & Dorota Kowalczyk & Steven Ongena & José-Luis Peydró, 2015. "Monetary Conditions and Banks’ Behaviour in the Czech Republic," Open Economies Review, Springer, vol. 26(3), pages 407-445, July.
  76. Baele, L. & Farooq, M. & Ongena, S., 2012. "Of Religion and Redemption : Evidence from Default on Islamic Loans (Replaces CentER DP 2010-136)," Discussion Paper 2012-014, Tilburg University, Center for Economic Research.
  77. Kimie Harada & Takatoshi Ito, 2008. "Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks," NBER Working Papers 14518, National Bureau of Economic Research, Inc.
  78. Filipe, Sara Ferreira & Grammatikos, Theoharry & Michala, Dimitra, 2016. "Forecasting distress in European SME portfolios," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 112-135.
  79. Kwamie Dunbar & Albert J. Edwards, 2007. "Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect," Working papers 2007-10, University of Connecticut, Department of Economics.
  80. Wilko Bolt & Leo de Haan & Marco Hoeberichts & Maarten van Oordt & Job Swank, 2010. "Bank Profitability during Recessions," DNB Working Papers 251, Netherlands Central Bank, Research Department.
  81. Alessandro Zeli, 2014. "The financial distress indicators trend in Italy: an analysis of medium-size enterprises," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 199-221, December.
  82. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series 1531, CESifo Group Munich.
  83. Guglielmo Maria Caporale & Mario Cerrato & Xuan Zhang, 2016. "Analysing the Determinants of Credit Risk for General Insurance Firms in the UK," CESifo Working Paper Series 5971, CESifo Group Munich.
  84. 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.
  85. Tsai, Feng-Tse & Lu, Hsin-Min & Hung, Mao-Wei, 2016. "The impact of news articles and corporate disclosure on credit risk valuation," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 100-116.
  86. Frolova, Elvina & Fantazzini, Dean, 2012. "Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 25(1), pages 3-24.
  87. repec:hal:journl:hal-00642699 is not listed on IDEAS
  88. Zhang, Zhipeng, 2009. "Recovery Rates and Macroeconomic Conditions: The Role of Loan Covenants," MPRA Paper 17521, University Library of Munich, Germany.
  89. Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya, 2011. "Corporate bond default risk: A 150-year perspective," Journal of Financial Economics, Elsevier, vol. 102(2), pages 233-250.
  90. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE 2014-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  91. Jaqueline Terra Moura Marins & Myrian Beatriz Eiras das Neves, 2013. "Credit Default and Business Cycles: an investigation of this relationship in the Brazilian corporate credit market," Working Papers Series 304, Central Bank of Brazil, Research Department.
  92. Simon Firestone & Marcelo Rezende, 2016. "Are Banks’ Internal Risk Parameters Consistent? Evidence from Syndicated Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(2), pages 211-242, October.
  93. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013. "Dynamic Diversification in Corporate Credit," CREATES Research Papers 2013-46, Department of Economics and Business Economics, Aarhus University.
  94. Liu, Wei & Kolari, James W. & Kyle Tippens, T. & Fraser, Donald R., 2013. "Did capital infusions enhance bank recovery from the great recession?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5048-5061.
  95. Peroni Chiara, 2009. "A Non-Parametric Investigation of Risk Premia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-52, September.
  96. RMI staff article, 2016. "NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 49-132.
  97. Zhu, Haibin & Tarashev, Nikola A., 2008. "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies 2008,09, Deutsche Bundesbank, Research Centre.
  98. Daniel Rösch & Harald Scheule, 2011. "Securitization rating performance and agency incentives," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314 Bank for International Settlements.
  99. Herbertsson, Alexander & Rootzén, Holger, 2007. "Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach," Working Papers in Economics 269, University of Gothenburg, Department of Economics.
  100. Bławat, Bogusław, 2012. "CRI RMI - Nowy model oceny ryzyka wystąpienia trudności finansowych firm
    [CRI RMI - New Approach to Default Probability Calculation]
    ," MPRA Paper 49121, University Library of Munich, Germany, revised Jan 2013.
  101. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
  102. Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank, Research Centre.
  103. Giulio Bottazzi & Marco Grazzi & Angelo Secchi & Federico Tamagni, 2011. "Financial and economic determinants of firm default," Journal of Evolutionary Economics, Springer, vol. 21(3), pages 373-406, August.
  104. Konstantinos Spiliopoulos, 2014. "Systemic Risk and Default Clustering for Large Financial Systems," Papers 1402.5352, arXiv.org, revised Feb 2015.
  105. Bruneau, C. & de Bandt, O. & El Amri, W., 2012. "Macroeconomic fluctuations and corporate financial fragility," Journal of Financial Stability, Elsevier, vol. 8(4), pages 219-235.
  106. Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng, 2013. "On Reduced Form Intensity-based Model with Trigger Events," Papers 1301.0109, arXiv.org.
  107. István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014. "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers 14-118/III, Tinbergen Institute, revised 31 Mar 2016.
  108. Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev, 2010. "Corporate Bond Default Risk: A 150-Year Perspective," NBER Working Papers 15848, National Bureau of Economic Research, Inc.
  109. Kay Giesecke & Baeho Kim, 2011. "Systemic Risk: What Defaults Are Telling Us," Management Science, INFORMS, vol. 57(8), pages 1387-1405, August.
  110. Kedia, Simi & Rajgopal, Shivaram & Zhou, Xing, 2014. "Did going public impair Moody׳s credit ratings?," Journal of Financial Economics, Elsevier, vol. 114(2), pages 293-315.
  111. Baele, Lieven & Farooq, Moazzam & Ongena, Steven, 2011. "Of Religion and Redemption: Evidence from Default on Islamic Loans," CEPR Discussion Papers 8504, C.E.P.R. Discussion Papers.
  112. Che-Min Chen & Han-Hsing Lee, 2013. "Default Risk, Liquidity Risk, and Equity Returns: Evidence from the Taiwan Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(1), pages 101-129, January.
  113. Ando, Tomohiro, 2009. "Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1925-1939, April.
  114. Francis A. Longstaff & Arvind Rajan, 2006. "An Empirical Analysis of the Pricing of Collateralized Debt Obligations," NBER Working Papers 12210, National Bureau of Economic Research, Inc.
  115. Dimitra Michala & Theoharry Grammatikos & Sara Ferreira Filipe, 2013. "Forecasting distress in European SME portfolios," LSF Research Working Paper Series 13-2, Luxembourg School of Finance, University of Luxembourg.
  116. Siem Jan Koopman & Andre Lucas & Bernd Schwaab, 2010. "Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective," Tinbergen Institute Discussion Papers 10-004/2, Tinbergen Institute, revised 24 Aug 2010.
  117. Andrew Ang & Nicolas P.B. Bollen, 2010. "Locked Up by a Lockup: Valuing Liquidity as a Real Option," Financial Management, Financial Management Association International, vol. 39(3), pages 1069-1096, 09.
  118. Daniel Rösch & Harald Scheule, 2014. "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 563-586, 09.
  119. Alexeev, Michael & Kim, Jounghyeon, 2012. "Bankruptcy and institutions," Economics Letters, Elsevier, vol. 117(3), pages 676-678.
  120. Jessen, Cathrine & Lando, David, 2015. "Robustness of distance-to-default," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 493-505.
  121. Xu, Ruxing, 2011. "A lattice approach for pricing convertible bond asset swaps with market risk and counterparty risk," Economic Modelling, Elsevier, vol. 28(5), pages 2143-2153, September.
  122. Siakoulis, Vasilios, 2015. "Modeling bank default intensity in the USA using autoregressive duration models," MPRA Paper 64526, University Library of Munich, Germany.
  123. Ruey-Ching Hwang & Huimin Chung & Jiun-Yi Ku, 2013. "Predicting Recurrent Financial Distresses with Autocorrelation Structure: An Empirical Analysis from an Emerging Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(3), pages 321-341, June.
  124. Felipe Zurita, 2008. "La Predicción de la Insolvencia de Empresas Chilenas," Documentos de Trabajo 336, Instituto de Economia. Pontificia Universidad Católica de Chile..
  125. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2559-2568, October.
  126. Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013. "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, vol. 107(2), pages 350-385.
  127. Tian, Shaonan & Yu, Yan & Guo, Hui, 2015. "Variable selection and corporate bankruptcy forecasts," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 89-100.
  128. repec:luc:wpaper:13-2 is not listed on IDEAS
  129. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
  130. Bams, Dennis & Pisa, Magdalena & Wolff, Christian C, 2015. "Credit risk characteristics of US small business portfolios," CEPR Discussion Papers 10889, C.E.P.R. Discussion Papers.
  131. Gao, Lin & Süss, Stephan, 2015. "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 84-103.
  132. Neta Sher & Koresh Galil, 2015. "Predicting default more accurately: to proxy or not to proxy for default?," Working Papers 1505, Ben-Gurion University of the Negev, Department of Economics.
  133. Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang, 2010. "On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches," NBER Working Papers 15734, National Bureau of Economic Research, Inc.
  134. Hong, Yili, 2013. "On computing the distribution function for the Poisson binomial distribution," Computational Statistics & Data Analysis, Elsevier, vol. 59(C), pages 41-51.
  135. Dedy Dwi Prastyo & Wolfgang Karl Härdle, 2014. "Localising Forward Intensities for Multiperiod Corporate Default," SFB 649 Discussion Papers SFB649DP2014-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  136. James Wolter, 2013. "Separating the impact of macroeconomic variables and global frailty in event data," Economics Series Working Papers 667, University of Oxford, Department of Economics.
  137. Dzsamila Vonnak, 2015. "Decomposing the Riskiness of Corporate Foreign Currency Lending: the Case of Hungary," IEHAS Discussion Papers 1528, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  138. James Wolter, 2015. "Asymptotics for Sieve Estimators of Hazard Rates: Estimating Hazard Functionals," Economics Series Working Papers 760, University of Oxford, Department of Economics.
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