Financial Markets Group, London School of EconomicsSegoviano, M., 2006. The Conditional Probability of Default Methodology, Financial Markets Group. London School of Economics Discussion Paper 558.a, "The Conditional Probability of Default Method- ology," Discussion Paper No. 558 (London: Financial ...
University of Regensburg, Department of EconomicsJournal of Computational FinanceVilsmeier, J., "Updating the Option Implied Probability of Default Methodology," (October 2011), bGPE Discussion Paper, No. 107.Vilsmeier, J. (2011). Updating the option implied probability of default methodology. BGPE...
default probability with the consequent main hypotheses of the research; Chapter 2 describes how these hypotheses can be tested and provides the methodology of the research; Chapter 3 describes the data used for analysis; Chapter 4 elucidates empirical results of the research and discusses limitations...
Motivation Data/Methodology Our Results Summary Macro-financial determinants of default probability using copula A case study of Indonesian banks Ahn. Jung-Hyun1 Muhajir. Maulana Harris2 SIX. Pierre1 1Department of Finance NEOMA Business School 2Ph.D Candidate NEOMA Business School STATA Conference, ...
We introduce a simple method to detect stocks with positive expected equity recovery by examining option prices and propose a method to extract the default probability from option prices that allows for positive equity recovery. We demonstrate possible applications of our methodology with examples that ...
The rest of this paper is organised as follows. Second section describes the background of the topic, and third section explains the methodology and data. Fourth section discusses the empirical findings of the study. Fifth section is the discussion and conclusion. ...
Methodology In the following sections, we evaluate the short-term probability of an invoice using historical payment data, which is additionally described with the behavioural analysis results. Thereby, we formulate the research question: ‘What is the probability that this invoice is going to be pai...
We compare several models for estimating the default probabilities of Russian banks using national statistics from 1998 to 2011, and find that a binary log
ates, when does it occur, how (un)common emission is in women, the best scientific methodology for gathering data, and the most accurate terminology to describe the fluid process (Korda et al.,2010; Pastor,2013; Pastor & Chmel,2018,2022; Rodriguez et al.,2021).1As a result, much of ...
Bayesian methodology In general, Bayesian methods are characterized by the following concepts and procedures: The use of hierarchical models and marginalization over the values of nuisance parameters. In most cases, the computation is intractable, but good approximations can be obtained using Markov chain...