Abinzano Guillén, María Isabel

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https://academica-e.unavarra.es/handle/2454/48436

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Abinzano Guillén

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María Isabel

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0002-4658-8677

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88665

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7240

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2020 - 20222
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Author: González Urteaga, Ana × Subject: Credit-risk measures ×

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Now showing 1 - 2 of 2
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    PublicationOpen Access
    Performance of default-risk measures: the sample matters
    (Elsevier, 2020) Abinzano Guillén, María Isabel; González Urteaga, Ana; Muga Caperos, Luis Fernando; Sánchez Alegría, Santiago; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa; Gobierno de Navarra / Nafarroako Gobernua, PI017-PI039 CORRAL
    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 are unavailable for some firm types, pair wise comparisons are made between the various measures, using same-size samples in every case. The results show the superiority of market-based measures, although their accuracy depends on the prediction horizon and the type of default events considered. Furthermore, examination shows that the effect of within-sample firm characteristics varies across measures. The overall finding is of poorer goodness of fit for accurate default prediction in samples characterised by high book-to-market ratios and/or high asset intangibility, both of which suggest pricing difficulty. In the case of large-firm samples, goodness of fit is in general negatively related to size, possibly because of the 'too-big-to-fail' effect.
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    PublicationOpen Access
    Lagged accuracy in credit-risk measures
    (Elsevier, 2022) Abinzano Guillén, María Isabel; González Urteaga, Ana; Muga Caperos, Luis Fernando; Sánchez Alegría, Santiago; Institute for Advanced Research in Business and Economics - INARBE
    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 and credit rating. In contrast, market-based credit-risk measures such as CDSs and the Black-Scholes-Merton model show no lag. This paper also analyzes the determinants of the lags found showing the importance of the informativeness of CDSs in reducing the lag for all types of default events, and a negative relationship between accounting manipulation and the lag of Altman’s Z for severe default events.