Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 7 of 7 for “"Distance to default"”.
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Credit Rating and Assignment of Naics Codes Using Lsi Method
The objective here is first, to improve automatic assignment of industry codes using LSI (lexical processing) by increasing the algorithm efficiency (both computationally and in term of input requirements), then quantify the lender's risk as "distance to default" (higher distance to default …
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Models of Corporate and Bank Default and Credit Migration
… modelling. The first study compares the real default probabilities produced by three main structural models of default, Merton model, Longstaff and Schwartz model and Leland and Toft model, to the observed real default probabilities reported by Moody's for the BBB, BB and B rated bonds. We …
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Term structures of conditional probabilities of corporate default in an incomplete information setting
… and provide their holders a protection against default, the importance of estimating probabilities of default has reached an unprecedented level. We have developed a Bayesian model to estimate term structures of conditional probabilities of corporate default, in an incomplete information …
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Credit Default Risk and Market Risk Premium of Chinese Corporate Bonds
… companies before September 2020 and actual default cases, the research investigates credit risk from the perspectives of forecasting corporate bond defaults, measuring credit default risk, measuring credit default risk, and exploring the determinants of bond risk premiums at the individual …
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The Effects of Mergers and Acquisitions on Bank Risks
… the effects of bank mergers on acquiring banks' default risk and on their contributions to systemic risk using an international merger sample, covering the period between 1998 and 2015. Furthermore, it investigates whether the changes in acquirers’ default risk after acquisitions have impacts on …
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Essays on Corporate Default Prediction
… corporate insolvencies had caused severe damage to the aggregate economy, highlights the crucial importance of an accurate corporate default prediction. Consequently, accurate default probability prediction is extremely important. The purpose of this research is to offer a unique contribution to …
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Bank regulation, supervision and financial stability: An empirical study
… the banking stability through several indicators of a bank’s stand-alone risk, such as the bank’s z-score and the Merton’s (1974) distance to default, among others. With respect to the banking supervision and regulations, I examine two underexplored topics: the role of supervisory cooperation …