Syntax Menu Description Options for one-way RE model Options for two-way RE and ME models Remarks and examples Stored results Methods and formulas References Also see Syntax Calculate intraclass correlations for one-way random-effects model icc depvar target if in , oneway options Calculate intraclass correlations for two-way random-effects model icc depvar target rater if in , twoway re option...

Although previous studies demonstrated decreased functional connectivity in the default mode network in the cognitively normal older adults with amyloid burden, effects of amyloid burden in the other large-scale intrinsic connectivity networks are not yet clear. The aim of this study was to investigate the distinctive association pattern of amyloid-β deposition on the three large-scale intrinsi...

In this paper we study how corporate bond defaults can be predicted using financial ratios and how the forecasted probability of default relates to the cross-section of expected stock returns. Using several performance measures we find that the duration model outperforms existing models in correctly classifying both Default and Non-Default firms. Using the default probabilities predicted by our...

We propose a multi-firm first-passage credit model in which investors have incomplete information. In this model, investors cannot observe a firm’s value process and its default barrier process. The model accounts for the short term risk inherent in default events, the market-wide impact of defaults on security prices due to counterparty relations between firms, and the cyclical default correla...

This empirical paper addresses the gap between the theoretically well-understood impact of systematic risk on the loss-distribution of a credit-risky loan portfolio and the lack of empirical estimates of the default correlation. To this purpose we start with a one-factor model in which the correlation with the systematic risk factor equals the asset correlation between two firms. The asset corr...

In this paper, we analyze the default risk of Chinese real estate companies with KMV model and time-varying copula. We collected the data of the listed real estate companies in Shanghai and Shenzhen Exchanges from 2007 to 2012 to calculate the default distance and correlations. Experiments results show that the default risk increases during the financial crisis. Moreover, results also indicate ...

This paper addresses the gap between the theoretically well-understood impact of systematic risk on the loss-distribution of a credit-risky loan portfolio and the lack of empirical estimates of the default correlation. To this purpose we start with a one-factor model in which the correlation with the systematic risk factor equals the asset correlation between two firms. In the theoretical part ...

the main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. we examine the dependence between pd and rr by theoretical approach. for the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. these methods allow to determinate...