Model for Analysing Credit Risk in the Enterprise Sector

Abstract

When banks’ overall risk is evaluated, their credit risk exposure to the enterprise sector is a key element. In analyses of banks’ credit risk in the enterprise sector, both a macroeconomic and a business economics approach are generally applied, the latter based on corporate earnings, liquidity and financial strength. In this article, we present a new model that predicts enterprise-specific bankruptcy probabilities. On the basis of these probabilities, both aggregate bankruptcy probabilities and the magnitude of accompanying losses for banks can be estimated.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 29 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.