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Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics
16 references·3 citing·39 second hop
Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics (2006)Credit Risk Drivers: Evaluating the Contr…Econometric Analysis of Panel Data (2021)Econometric Analysis of Panel…Credit Cycles, Credit Risk, and Prudential Regulation (2005)Credit Cycles, Credit Risk, a…Credit Risk (2003)Credit RiskCredit Risk : Pricing, Measurement, and Management (2003)Credit Risk : Pricing, Measur…Collateral, type of lender and relationship banking as determinants of credit risk (2003)Collateral, type of lender an…Capital structure choice: macroeconomic conditions and financial constraints (2003)Capital structure choice: mac…Analysis of Panel Data (2003)Analysis of Panel DataRatings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…Econometric Analysis of Cross Section and Panel Data (2001)Econometric Analysis of Cross…Stability of rating transitions (2000)Stability of rating transitio…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Expected Loan Loss Provisioning: An Empirical Model (2019)Expected Loan Loss Provisioni…Dynamic prediction of financial distress using Malmquist DEA (2017)Dynamic prediction of financi…Predicting bank failures using simple static and time-varying models (2009)Predicting bank failures usin…Econometric Models for Count Data with an Application to the Patents-R&D Relationship (1984)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Introductory Econometrics for Finance (2008)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Another look at the instrumental variable estimation of error-components models (1995)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Corporate social responsibility and access to finance (2013)The China Syndrome: Local Labor Market Effects of Import Competition in the United States (2013)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)Bank Lines of Credit in Corporate Finance: An Empirical Analysis (2007)Do Tests of Capital Structure Theory Mean What They Say? (2007)Testing Theories of Capital Structure and Estimating the Speed of Adjustment (2009)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Forecasting Default with the Merton Distance to Default Model (2008)In Search of Distress Risk (2008)Initial conditions and moment restrictions in dynamic panel data models (1995)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)
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References

  • 2001Econometric Analysis of Cross Section and Panel Data27,575 cited
  • 2021Econometric Analysis of Panel Data15,089 cited
  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2003Analysis of Panel Data7,858 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2003Capital structure choice: macroeconomic conditions and financial constraints1,102 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2005Credit Cycles, Credit Risk, and Prudential Regulation609 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
  • 2000Stability of rating transitions562 cited
  • 2003Credit Risk560 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 2003

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Collateral, type of lender and relationship banking as determinants of credit risk
434 cited

Cited by

  • 2017Dynamic prediction of financial distress using Malmquist DEA95 cited
  • 2019Expected Loan Loss Provisioning: An Empirical Model42 cited
  • 2009Predicting bank failures using simple static and time-varying models41 cited