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Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model

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References

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
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1977The Estimation of Choice Probabilities from Choice Based Samples1,207 cited
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2010The value of non-financial information in SME risk management339 cited
1990DEVELOPMENT OF A CLASS OF STABLE PREDICTIVE VARIABLES: THE CASE OF BANKRUPTCY PREDICTION336 cited
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1988BANKRUPTCY PREDICTION ‐ AN INVESTIGATION OF CASH FLOW BASED MODELS [1]240 cited
1998

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An empirical comparison of bankruptcy models

238 cited

Cited by

2015Estimating bank default with generalised extreme value regression models69 cited
2015Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model67 cited
2015A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models43 cited
2016The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach42 cited
2017“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults41 cited
2019A new approach to measure systemic risk: A bivariate copula model for dependent censored data37 cited
2022Financial ratios, corporate governance and bank-firm information: a Bayesian approach to predict SMEs’ default21 cited