The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data processing can …x this problem. More information is required. Incorporating expert opinion formally is an attractive option.

Conventional wisdom posits that high interest rates stem capital flight. But if higher interest rates increase the probability of debt default, they might have anti-orthodox effects. This note develops a framework for evaluating conditions under which this might occur.  2000 Elsevier Science S.A. All rights reserved.

This paper considers the role of ownership form for the financial performance of German acute care hospitals and its development over time. We measure financial performance by a hospital-specific yearly probability of default (PD). Using a panel of hospital data, our models allow for state dependence in the PD as well as unobserved individual heterogeneity. We find that private ownership is mor...

Abstract We investigate the relationship between building energy efficiency and probability of mortgage default. To this end, we construct a novel panel data set by combining Dutch loan-level information with provisional ratings provided Netherlands Enterprise Agency. Using logit regression extended Cox model, find that is associated lower There are three possible channels might drive results: ...

We consider the problem of modelling the term structure of bonds subject to default risk, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term to the forward-rate approach by Heath, Jarro...

Default risk model is provided by using option pricing theory in a fuzzy framework in consideration of a simple company comprised of a single type of the debt that is free from profit payment and a single type of capital that is liberated from dividend. The model is based on the assumption that asset value of a company is the sum of total market value of stock and debt value, considering a situ...