We propose a relatively simple, accurate and flexible approach to forecasting the distribution
of defaulted debt recovery outcomes. Our approach is based on mixtures of Gaussian …

A firm in a steady state generates predictable income and investors can generally agree on
its valuation. However, when a significant corporate event occurs this creates greater …

International experience points to the critical role of stable property markets in maintaining
financial stability. This paper investigates the real and financial linkages between real estate …

Since the 1970s, the field of finance has evolved rapidly, driven by the advances in
information technology and the introduction of financial innovations involving new financial …

Credit risk rating is an important issue for both financial institutions and companies,
especially in periods of economic recession. There are many different approaches and …

In this paper we present a novel approach for firm default probability estimation. The
methodology is based on multivariate contingent claim analysis and pair copula …

In recent years, global warming and climate change have become highly prominent among
society's main concerns. Most countries are adopting strategies to reduce greenhouse gas …

The paper discusses methodological topics of bankruptcy prediction modelling—
unbalanced sampling, sample bias, and unbiased predictions of bankruptcy. Bankruptcy …

We present a methodology for rating in real-time the creditworthiness of public companies in
the US from the prices of traded assets. Our approach uses asset pricing data to impute a …

In response to the recent elevated corporate credit risk environment in China, we develop a
probability of default (PD) measure based on corporate bond defaults using the machine …