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Modeling the effect of macroeconomic factors on corporate default and credit rating transitions

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Cited by:

  1. Mohd Saad, Noriza & Haniff, Mohd Nizal & Ali, Norli, 2020. "Corporate governance mechanisms with conventional bonds and Sukuk’ yield spreads," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  2. Kuo, Su-Wen & Huang, Chin-Sheng & Jhang, Guan-Cih, 2015. "Liquidity, delistings, and credit risk premium," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 78-89.
  3. Michalski, Lachlan & Low, Rand Kwong Yew, 2024. "Determinants of corporate credit ratings: Does ESG matter?," International Review of Financial Analysis, Elsevier, vol. 94(C).
  4. Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
  5. Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank.
  6. Liu, Xiao & Wang, Yang & Wang, Yiming, 2023. "Does financial cycle affect corporate bond ratings? – Evidence from macro and micro interaction effects," Finance Research Letters, Elsevier, vol. 58(PD).
  7. Mardan, Mohammed & Stimmelmayr, Michael, 2020. "Tax competition between developed, emerging, and developing countries – Same same but different?," Journal of Development Economics, Elsevier, vol. 146(C).
  8. Ptak-Chmielewska Aneta & Matuszyk Anna, 2019. "Macroeconomic Factors in Modelling the SMEs Bankruptcy Risk. The Case of the Polish Market," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(3), pages 40-49, September.
  9. Zhao Wang & Cuiqing Jiang & Huimin Zhao, 2022. "Know Where to Invest: Platform Risk Evaluation in Online Lending," Information Systems Research, INFORMS, vol. 33(3), pages 765-783, September.
  10. Areski Cousin & J'er^ome Lelong & Tom Picard, 2021. "Rating transitions forecasting: a filtering approach," Papers 2109.10567, arXiv.org, revised Jun 2023.
  11. Lu, Yang-Cheng & Wei, Yu-Chen & Chang, Tsang-Yao, 2015. "The effects and applicability of financial media reports on corporate default ratings," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 69-87.
  12. Zuzana Košťálová & Eva Horvátová & Štefan Lyócsa & Peter Gernát, 2022. "New Credit Drivers: Results from a Small Open Economy," Eastern European Economics, Taylor & Francis Journals, vol. 60(1), pages 79-112, January.
  13. Huan Huu Nguyen & Thanh Phuc Nguyen & Anh Nguyen Tram Tran, 2022. "Impacts of monetary policy transmission on bank performance and risk in the Vietnamese market: Does the Covid-19 pandemic matter?," Cogent Business & Management, Taylor & Francis Journals, vol. 9(1), pages 2094591-209, December.
  14. Jones, Stewart & Wang, Tim, 2019. "Predicting private company failure: A multi-class analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 161-188.
  15. Böninghausen, Benjamin & Köhler, Matthias, 2015. "Diversification and determinants of international credit portfolios: Evidence from German banks," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 57-75.
  16. Vojtech Siuda, 2020. "A Top-down Stress-testing Framework for the Nonfinancial Corporate Sector," Working Papers 2020/12, Czech National Bank.
  17. Stewart Jones, 2017. "Corporate bankruptcy prediction: a high dimensional analysis," Review of Accounting Studies, Springer, vol. 22(3), pages 1366-1422, September.
  18. Edirisinghe, Chanaka & Sawicki, Julia & Zhao, Yonggan & Zhou, Jun, 2022. "Predicting credit rating changes conditional on economic strength," Finance Research Letters, Elsevier, vol. 47(PB).
  19. Enrique Batiz‐Zuk & Fabrizio López‐Gallo & Abdulkadir Mohamed & Fátima Sánchez‐Cajal, 2022. "Determinants of loan survival rates for small and medium‐sized enterprises: Evidence from an emerging economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4741-4755, October.
  20. Saona, Paolo, 2016. "Intra- and extra-bank determinants of Latin American Banks' profitability," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 197-214.
  21. Maltritz, Dominik & Molchanov, Alexander, 2014. "Country credit risk determinants with model uncertainty," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 224-234.
  22. Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Rating transitions forecasting: a filtering approach," Post-Print hal-03347521, HAL.
  23. Byoun, Soku, 2014. "Information content of unsolicited credit ratings and incentives of rating agencies: A theory," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 338-349.
  24. Amendola, Alessandra & Restaino, Marialuisa & Sensini, Luca, 2015. "An analysis of the determinants of financial distress in Italy: A competing risks approach," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 33-41.
  25. Fernández-Gámez, Manuel Ángel & Soria, Juan Antonio Campos & Santos, José António C. & Alaminos, David, 2020. "European country heterogeneity in financial distress prediction: An empirical analysis with macroeconomic and regulatory factors," Economic Modelling, Elsevier, vol. 88(C), pages 398-407.
  26. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
  27. Zhang, Xuan & Ouyang, Ruolan & Liu, Ding & Xu, Liao, 2020. "Determinants of corporate default risk in China: The role of financial constraints," Economic Modelling, Elsevier, vol. 92(C), pages 87-98.
  28. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Migration Analysis; Conditioning Transition Matrices on the Stage of the Business Cycle," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(2), pages 151-166, May.
  29. Tu D. Q. Le & Dat T. Nguyen, 2020. "Capital Structure and Bank Profitability in Vietnam: A Quantile Regression Approach," JRFM, MDPI, vol. 13(8), pages 1-17, August.
  30. Zhang, Xuan & Zhao, Yang & Yao, Xiao, 2022. "Forecasting corporate default risk in China," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1054-1070.
  31. Hyeongjun Kim & Hoon Cho & Doojin Ryu, 2022. "Corporate Bankruptcy Prediction Using Machine Learning Methodologies with a Focus on Sequential Data," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1231-1249, March.
  32. Areski Cousin & Jérôme Lelong & Tom Picard, 2022. "Rating transitions forecasting: a filtering approach," Working Papers hal-03347521, HAL.
  33. Oliver Blümke, 2022. "Multiperiod default probability forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 677-696, July.
  34. Radivojević, Nikola & Cvijanović, Drago & Sekulic, Dejan & Pavlovic, Dejana & Jovic, Srdjan & Maksimović, Goran, 2019. "Econometric model of non-performing loans determinants," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 481-488.
  35. Jaspreet Kaur & Madhu Vij & Ajay Kumar Chauhan, 2023. "Signals influencing corporate credit ratings—a systematic literature review," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 50(1), pages 91-114, March.
  36. Djeundje, Viani Biatat & Crook, Jonathan, 2018. "Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards," European Journal of Operational Research, Elsevier, vol. 271(2), pages 697-709.
  37. Mohammed T. Abusharbeh, 2022. "Determinants of credit risk in Palestine: Panel data estimation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3434-3443, July.
  38. Li, Zhe & Liang, Shuguang & Pan, Xianyou & Pang, Meng, 2024. "Credit risk prediction based on loan profit: Evidence from Chinese SMEs," Research in International Business and Finance, Elsevier, vol. 67(PA).
  39. Jones, Stewart & Johnstone, David & Wilson, Roy, 2015. "An empirical evaluation of the performance of binary classifiers in the prediction of credit ratings changes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 72-85.
  40. Almeida, Fernanda Dantas & Divino, José Angelo, 2015. "Determinants of the banking spread in the Brazilian economy: The role of micro and macroeconomic factors," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 29-39.
  41. Hyeongjun Kim & Hoon Cho & Doojin Ryu, 2020. "Corporate Default Predictions Using Machine Learning: Literature Review," Sustainability, MDPI, vol. 12(16), pages 1-11, August.
  42. Haipeng Xing & Ying Chen, 2018. "Dependence of Structural Breaks in Rating Transition Dynamics on Economic and Market Variations," Review of Economics & Finance, Better Advances Press, Canada, vol. 11, pages 1-18, February.
  43. Lucio Masserini & Matilde Bini & Alessandro Zeli, 2021. "A Longitudinal Analysis of Riskiness Indicators After the 2008 and 2011 Economic Crises: The Case of Italian Manufacturing," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 156(2), pages 499-513, August.
  44. Yurchenko, Yurii, 2019. "The impact of macroeconomic factors on collateral value within the framework of expected credit loss calculation," MPRA Paper 97135, University Library of Munich, Germany.
  45. Louis, Philippe & Van Laere, Elisabeth & Baesens, Bart, 2013. "Understanding and predicting bank rating transitions using optimal survival analysis models," Economics Letters, Elsevier, vol. 119(3), pages 280-283.
  46. Huong Dang, 2014. "How dimensions of national culture and institutional characteristics influence sovereign rating migration dynamics," ZenTra Working Papers in Transnational Studies 42 / 2014, ZenTra - Center for Transnational Studies.
  47. Tomáš Vaněk & David Hampel, 2017. "The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(2), pages 759-776.
  48. Kemper, Kristopher J. & Mortenson, Kristian, 2020. "Procyclical ratings and market reactions," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  49. Ho, Kung-Cheng & Yen, Huang-Ping & Gu, Yan & Shi, Lisi, 2020. "Does societal trust make firms more trustworthy?," Emerging Markets Review, Elsevier, vol. 42(C).
  50. Thakerngkiat, Narongdech & Nguyen, Hung T. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2023. "Does fear spur default risk?," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 879-899.
  51. Huong Dang, 2014. "A Competing Risks Dynamic Hazard Approach to Investigate the Insolvency Outcomes of Property-Casualty Insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 39(1), pages 42-76, January.
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