Comprehending China's Domestic Ratings: A Perspective from Default Probability-Implied S&P Ratings

2021 ◽  
Author(s):  
Shida Liu ◽  
Hao Wang
Keyword(s):  
Default Probability

scholarly journals Validation of default probability models: A stress testing approach

2016 ◽  
Vol 47 ◽  
pp. 70-85 ◽  
Author(s):  
Fábio Yasuhiro Tsukahara ◽  
Herbert Kimura ◽  
Vinicius Amorim Sobreiro ◽  
Juan Carlos Arismendi Zambrano
Keyword(s):  
Stress Testing ◽  
Default Probability ◽  
Probability Models ◽  
Testing Approach

scholarly journals The Credit Asset of Enterprise Accounts Receivable Pricing Model

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-16
Author(s):  
Deshun Xu ◽  
Junhai Ma
Keyword(s):  
Intrinsic Value ◽  
Default Probability ◽  
Financial Indicators ◽  
Pricing Model ◽  
Loss Given Default ◽  
Accounts Receivable ◽  
Kmv Model ◽  
Management Technology ◽  
Overall Evaluation ◽  
Control Management

Based on the thinking of holism and reductionism, this paper creatively constructed the credit asset pricing model of enterprises’ accounts receivable, namely, the BEST pricing model, and it was demonstrated effectively. The model gave an overall evaluation on the default probability of buyer and environment, as well as buyer loss given default resulting from the factors including Seller (S), Buyer (B), and Environment (E). The model is also utilized with the optimal control management Technology (T) to maximize the intrinsic value of the credit asset. The paper put forward the Duration of accounts receivable aging, measurement method of dynamic free interest rate, and amended the KMV model to solve the default probability of accounts receivable of listed and nonlisted companies. To evaluate the credit asset risk, the following were selected: three effective financial indicators, seven nonfinancial index clusters, and sixty-three specific nonfinancial index variables of the buyer; one index and eight specific indicators of the seller; and one index and fourteen specific indicators of nonsystematic risk of the environment. Five appropriate hedge parameters are used to control the risk.

scholarly journals ESTIMATING A JOINT PROBABILITY OF DEFAULT INDEX FOR INDONESIAN BANKS: A COPULA APPROACH

2020 ◽  
Vol 23 (3) ◽  
pp. 389-412
Author(s):  
Zaafri Ananto Husodo ◽  
Sigit Sulistyo Wibowo ◽  
Muhammad Budi Prasetyo ◽  
Usman Arief ◽  
Maulana Harris Muhajir
Keyword(s):  
Global Financial Crisis ◽  
Banking Industry ◽  
Joint Probability ◽  
Default Probability ◽  
Probability Of Default ◽  
Financial Reports ◽  
Systemic Risks ◽  
Copula Approach ◽  
The Global Financial Crisis ◽  
Probability Index

We develop a joint default probability index to signal potential systemic risks in the highly concentrated Indonesian banking industry. To build the index, we estimate bank-level tail risks using monthly bank financial reports. We use the copula approach to derive the joint multivariate dependencies at the bank level, as reflected in the monthly financial reports. Our results, which are based on a sample of 104 banks fromDecember 2003 to April 2020, show joint multivariate dependencies at the bank level suggesting that the standard univariate normal distribution is unsuitable for capturing tail risks of individual banks. Our index accurately captures the global financial crisis of 2007-2008 indicating that it is a valid joint default probability index. Further, our index also signaled a higher degree of joint default before the COVID-19 outbreak in2020, suggesting that it is a good indicator of potential systemic risk in the economy.

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