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Performance of default-risk measures: the sample matters
(Elsevier, 2020)
info:eu-repo/semantics/article,
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 ...
Lagged accuracy in credit-risk measures
(Elsevier, 2022)
info:eu-repo/semantics/article,
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 ...