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Cure Events in Default Prediction

Rösch, Daniel and Wolter, Marcus (2014) Cure Events in Default Prediction. European Journal of Operational Research 238 (3), pp. 846-857.

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Other URL: http://dx.doi.org/10.1016/j.ejor.2014.04.046


Abstract

This paper evaluates the resurrection event regarding defaulted firms and incorporates observable cure events in the default prediction of SME. Due to the additional cure-related observable data, a completely new information set is applied to predict individual default and cure events. This is a new approach in credit risk that, to our knowledge, has not been followed yet. Different firm-specific ...

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Item type:Article
Date:2014
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1016/j.ejor.2014.04.046DOI
Keywords:Finance Risk analysis Risk management
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Item ID:31886
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