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Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms
16 references·8 citing·34 second hop
Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms (2014)Combining accounting data and a structura…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …In Search of Distress Risk (2008)In Search of Distress RiskForecasting Default with the Merton Distance to Default Model (2008)Forecasting Default with the …Accounting-based versus market-based cross-sectional models of CDS spreads (2008)Accounting-based versus marke…Comparing the performance of market-based and accounting-based bankruptcy prediction models (2007)Comparing the performance of …Multicriteria Decision Aid Classification Methods (2004)Multicriteria Decision Aid Cl…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsAssessing the Probability of Bankruptcy (2004)Assessing the Probability of …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Credit rating analysis with support vector machines and neural networks: a market comparative study (2003)Credit rating analysis with s…Market Timing and Capital Structure (2002)Market Timing and Capital Str…Credit risk rating systems at large US banks (2000)Credit risk rating systems at…Credit risk measurement: Developments over the last 20 years (1997)Credit risk measurement: Deve…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On the Pricing of Corporate D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Low-Carbon Transition, Climate Commitments and Firm Credit Risk (2021)The Low-Carbon Transition, Cl…The effects of macroprudential policies on credit growth (2021)The effects of macroprudentia…Mining semantic features in current reports for financial distress prediction: Empirical evidence from unlisted public firms in China (2021)Mining semantic features in c…Elements of Credit Rating: A Hybrid Review and Future Research Agenda (2021)Elements of Credit Rating: A …The value of renewable energy research and development investments with default consideration (2019)The value of renewable energy…Predicting unlisted SMEs' default: Incorporating market information on accounting-based models for improved accuracy (2018)Predicting unlisted SMEs' def…Modelling market implied ratings using LASSO variable selection techniques (2018)Modelling market implied rati…Predicting corporate investment/non-investment grade by using interval-valued fuzzy rule-based systems—A cross-region analysis (2017)Predicting corporate investme…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The Economics of Structured Finance (2009)Credit Spreads and Business Cycle Fluctuations (2012)Predictably Unequal? The Effects of Machine Learning on Credit Markets (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Multi-period corporate default prediction with stochastic covariates (2006)The impact of corporate social responsibility on the cost of bank loans (2010)Editor's Choice Digesting Anomalies: An Investment ApproachAdvances in prospect theory: Cumulative representation of uncertainty (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)… and the Cross-Section of Expected Returns (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Capital Structure Decisions: Which Factors Are Reliably Important? (2007)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)The Cross-Section of Expected Stock Returns (1992)The cost of capital, corporation finance and the theory of investment (2008)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2002Market Timing and Capital Structure3,804 cited
  • 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates2,752 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2008Forecasting Default with the Merton Distance to Default Model2,220 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 2004Assessing the Probability of Bankruptcy1,357 cited
  • 2003Credit rating analysis with support vector machines and neural networks: a market comparative study1,017 cited
  • 1997Credit risk measurement: Developments over the last 20 years806 cited
  • 2007Comparing the performance of market-based and accounting-based bankruptcy prediction models584 cited
  • 2004Multicriteria Decision Aid Classification Methods377 cited
  • 2000Credit risk rating systems at large US banks289 cited
  • 2008

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Accounting-based versus market-based cross-sectional models of CDS spreads
259 cited

Cited by

  • 2021The Low-Carbon Transition, Climate Commitments and Firm Credit Risk63 cited
  • 2021Mining semantic features in current reports for financial distress prediction: Empirical evidence from unlisted public firms in China54 cited
  • 2018Modelling market implied ratings using LASSO variable selection techniques48 cited
  • 2018Predicting unlisted SMEs' default: Incorporating market information on accounting-based models for improved accuracy37 cited
  • 2021Elements of Credit Rating: A Hybrid Review and Future Research Agenda36 cited
  • 2017Predicting corporate investment/non-investment grade by using interval-valued fuzzy rule-based systems—A cross-region analysis27 cited
  • 2021The effects of macroprudential policies on credit growth26 cited
  • 2019The value of renewable energy research and development investments with default consideration26 cited