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Measuring Distance-to-Default for Financial and Non-Financial Firms

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Cited by:

  1. Turalay Kenc & Emrah Ismail Cevik & Sel Dibooglu, 2021. "Bank default indicators with volatility clustering," Annals of Finance, Springer, vol. 17(1), pages 127-151, March.
  2. Srivastava, Jagriti & Gopalakrishnan, Balagopal, 2021. "In-kind financing during a pandemic: Trade credit and COVID-19," MPRA Paper 111433, University Library of Munich, Germany, revised Dec 2021.
  3. Huang, Mu-Nan & Lee, Han-Hsing, 2024. "Inter-industry network and credit risk," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 598-625.
  4. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
  5. Shin, Dongheon & Kim, Baeho, 2015. "Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 38-61.
  6. Martin Indergand & Eric Jondeau & Andreas Fuster, 2022. "Measuring and Stress-Testing Market-Implied Bank Capital," Swiss Finance Institute Research Paper Series 22-11, Swiss Finance Institute.
  7. Pathan, Shams & Haq, Mamiza & Faff, Robert & Seymour, Trent, 2021. "Institutional investor horizon and bank risk-taking," Journal of Corporate Finance, Elsevier, vol. 66(C).
  8. Ali, Searat & Iqbal, Jamshed & Malik, Ihtisham & Rahman, Dewan, 2024. "Does managerial pay disparity influence BHC default risk?," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1250-1269.
  9. Nguyen, Duc Nguyen & Nguyen, Canh Phuc & Dang, Le Phuong Xuan, 2022. "Uncertainty and corporate default risk: Novel evidence from emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  10. Leroy, Aurélien & Lucotte, Yannick, 2017. "Is there a competition-stability trade-off in European banking?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 199-215.
  11. Srivastava, Jagriti & Gopalakrishnan, Balagopal, 2021. "In-kind financing during a pandemic: Trade credit and COVID-19," MPRA Paper 108951, University Library of Munich, Germany.
  12. Andrieș, Alin Marius & Nistor, Simona & Ongena, Steven & Sprincean, Nicu, 2020. "On Becoming an O-SII (“Other Systemically Important Institution”)," Journal of Banking & Finance, Elsevier, vol. 111(C).
  13. Alin-Marius Andries & Florentina Melnic & Simona Nistor, 2018. "Effects of Macroprudential Policy on Systemic Risk and Bank Risk Taking," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(3), pages 202-244, July.
  14. Ken Miyajima & Jorge A. Chan-Lau & Weimin Miao & Jongsoon Shin, 2017. "Assessing Corporate Vulnerabilities in Indonesia: A Bottom-Up Default Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 269-289, December.
  15. Islam, Md Shahidul & Alam, Md Samsul & Bin Hasan, Shehub & Mollah, Sabur, 2022. "Firm-level political risk and distance-to-default," Journal of Financial Stability, Elsevier, vol. 63(C).
  16. Ali, Searat & Hussain, Nazim & Iqbal, Jamshed, 2021. "Corporate governance and the insolvency risk of financial institutions," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  17. 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.
  18. Robert F. Engle & Emil N. Siriwardane, 2018. "Structural GARCH: The Volatility-Leverage Connection," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 449-492.
  19. László Békési & Lorant Kaszab & Szabolcs Szentmihályi, 2017. "The EAGLE model for Hungary - a global perspective," MNB Working Papers 2017/7, Magyar Nemzeti Bank (Central Bank of Hungary).
  20. Abinzano, Isabel & Corredor, Pilar & Mansilla-Fernández, José Manuel, 2022. "Sovereign debt holdings and banks’ credit risk: Evidence from the Eurozone," Finance Research Letters, Elsevier, vol. 47(PA).
  21. Zhang, Xuan & Zhao, Yang & Yao, Xiao, 2022. "Forecasting corporate default risk in China," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1054-1070.
  22. RMI staff article, 2016. "NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 49-132.
  23. Jagriti Srivastava & Balagopal Gopalakrishnan, 2021. "In-kind financing during a pandemic: Trade credit and COVID-19," Working papers 473, Indian Institute of Management Kozhikode.
  24. Tetyana Balyuk & Nagpurnanand R. Prabhala & Manju Puri, 2020. "Indirect Costs of Government Aid and Intermediary Supply Effects: Lessons From the Paycheck Protection Program," NBER Working Papers 28114, National Bureau of Economic Research, Inc.
  25. Duan, Jin-Chuan & Kim, Baeho & Kim, Woojin & Shin, Donghwa, 2018. "Default probabilities of privately held firms," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 235-250.
  26. Chia-Chien Chang & Yung -Jen Chung, 2016. "Can Basel Iii Liquidity Risk Measures Explain Taiwan Bank Failures," Proceedings of Economics and Finance Conferences 3205450, International Institute of Social and Economic Sciences.
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