Listar por tema "Credit-risk measures"
Mostrando ítems 1-3 de 3
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Lagged accuracy in credit-risk measures
This paper analyzes the magnitude (accuracy) and length (time) of the lag in the incorporation of new information in different measures of credit risk. The results, for US firms, show a lag for Altman’s Z accounting measure ... -
Measuring bank´s default risk
Con la situación que han vivido los bancos españoles en los últimos años y agravada tras la recesión provocada por la pandemia de Covid-19, es importante tener claro qué medidas del riesgo de crédito de los bancos deben ... -
Performance of default-risk measures: the sample matters
This paper examines the predictive power of the main default-risk measures used by both academics and practitioners, including accounting measures, market-price-based measures and the credit rating. Given that some measures ...