Distress Risk And Corporate Failure Modelling
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Distress Risk And Corporate Failure Modelling
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Author : Stewart Jones
language : en
Publisher: Routledge
Release Date : 2022-09-15
Distress Risk And Corporate Failure Modelling written by Stewart Jones and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-15 with Business & Economics categories.
This book is an introduction text to distress risk and corporate failure modelling techniques. It illustrates how to apply a wide range of corporate bankruptcy prediction models and, in turn, highlights their strengths and limitations under different circumstances. It also conceptualises the role and function of different classifiers in terms of a trade-off between model flexibility and interpretability. Jones's illustrations and applications are based on actual company failure data and samples. Its practical and lucid presentation of basic concepts covers various statistical learning approaches, including machine learning, which has come into prominence in recent years. The material covered will help readers better understand a broad range of statistical learning models, ranging from relatively simple techniques, such as linear discriminant analysis, to state-of-the-art machine learning methods, such as gradient boosting machines, adaptive boosting, random forests, and deep learning. The book’s comprehensive review and use of real-life data will make this a valuable, easy-to-read text for researchers, academics, institutions, and professionals who make use of distress risk and corporate failure forecasts.
Corporate Financial Distress
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Author : Edward I. Altman
language : en
Publisher:
Release Date : 1983-02-14
Corporate Financial Distress written by Edward I. Altman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983-02-14 with Business & Economics categories.
"A Wiley-Interscience publication."Includes index. Bibliography: p. 355-361.
Corporate Bankruptcy
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Author : Konstantin A. Danilov
language : en
Publisher:
Release Date : 2014
Corporate Bankruptcy written by Konstantin A. Danilov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This paper is divided into three sections that address the various elements of understanding, predicting and analyzing corporate failure and bankruptcy. Part I covers the definitions of corporate failure, explains the bankruptcy process and then classifies various potential causes of failure into broad categories. The causes are bifurcated into company-specific versus external factors. The company-specific factors include an in depth discussion and analysis of business causes versus financial causes, as well as the interrelation between the two. The most important factors, such as financial and operating leverage, are explored in great detail to gain a better understanding of their implications and impact on corporate failure. Part II covers various approaches for analyzing corporate risk and predicting corporate failure. It first details the credit analysis process from the perspective of lenders and credit agencies as a method for credit evaluation and prediction of default. Then, it provides an in depth explanation of financial ratio analysis as a prediction method and provides an overview of the main statistical prediction models. It concludes with a discussion of the implications of the model findings with respect to the causes detailed in Part I. Lastly, Part III describes the outcome of the study performed to analyze the causes of failure as described in Part I by using a combination of the methods highlighted in Part II. The purpose of the study is to identify the sequence and magnitude of relative ratio deterioration in failed firms in order to establish the relative frequency of the various categories of causes of failure. Various ratios and metrics were used as proxies for relative liquidity complications, profitability issues, business problems, and leverage concerns. The impact of macroeconomic events is also evaluated by isolating the impact of the 2008-2009 recession on the relative ratio measures.
Corporate Bankruptcy
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Author : CFA Danilov (Konstantin A.)
language : en
Publisher:
Release Date : 2014
Corporate Bankruptcy written by CFA Danilov (Konstantin A.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This paper is divided into three sections that address the various elements of understanding, predicting and analyzing corporate failure and bankruptcy. Part I covers the definitions of corporate failure, explains the bankruptcy process and then classifies various potential causes of failure into broad categories. The causes are bifurcated into company-specific versus external factors. The company-specific factors include an in depth discussion and analysis of business causes versus financial causes, as well as the interrelation between the two. The most important factors, such as financial and operating leverage, are explored in great detail to gain a better understanding of their implications and impact on corporate failure. Part II covers various approaches for analyzing corporate risk and predicting corporate failure. It first details the credit analysis process from the perspective of lenders and credit agencies as a method for credit evaluation and prediction of default. Then, it provides an in depth explanation of financial ratio analysis as a prediction method and provides an overview of the main statistical prediction models. It concludes with a discussion of the implications of the model findings with respect to the causes detailed in Part I. Lastly, Part III describes the outcome of the study performed to analyze the causes of failure as described in Part I by using a combination of the methods highlighted in Part II. The purpose of the study is to identify the sequence and magnitude of relative ratio deterioration in failed firms in order to establish the relative frequency of the various categories of causes of failure. Various ratios and metrics were used as proxies for relative liquidity complications, profitability issues, business problems, and leverage concerns. The impact of macroeconomic events is also evaluated by isolating the impact of the 2008-2009 recession on the relative ratio measures.
Corporate Financial Distress And Bankruptcy
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Author : Edward I. Altman
language : en
Publisher: John Wiley & Sons
Release Date : 2010-03-11
Corporate Financial Distress And Bankruptcy written by Edward I. Altman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-11 with Business & Economics categories.
A comprehensive look at the enormous growth and evolution of distressed debt, corporate bankruptcy, and credit risk default This Third Edition of the most authoritative finance book on the topic updates and expands its discussion of corporate distress and bankruptcy, as well as the related markets dealing with high-yield and distressed debt, and offers state-of-the-art analysis and research on the costs of bankruptcy, credit default prediction, the post-emergence period performance of bankrupt firms, and more.
In Search Of Distress Risk
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Author : John Y. Campbell
language : de
Publisher:
Release Date : 2006
In Search Of Distress Risk written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business failures categories.
"This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistentfirm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress"--National Bureau of Economic Research web site.
In Search Of Distress Risk
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2014
In Search Of Distress Risk written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This paper explores the determinants of corporate failure and the pricing of financially distressed stocks using US data over the period 1963 to 2003. Firms with higher leverage, lower profitability, lower market capitalization, lower past stock returns, more volatile past stock returns, lower cash holdings, higher market-book ratios, and lower prices per share are more likely to file for bankruptcy, be delisted, or receive a D rating. When predicting failure at longer horizons, the most persistent firm characteristics, market capitalization, the market-book ratio, and equity volatility become relatively more significant. Our model captures much of the time variation in the aggregate failure rate. Since 1981, financially distressed stocks have delivered anomalously low returns. They have lower returns but much higher standard deviations, market betas, and loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles but are particularly strong in smaller stocks. They are inconsistent with the conjecture that the value and size effects are compensation for the risk of financial distress.
Early Warning Indicators Of Corporate Failure
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Author : Richard Morris
language : en
Publisher: Routledge
Release Date : 2018-12-17
Early Warning Indicators Of Corporate Failure written by Richard Morris and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-17 with Social Science categories.
Published in 1997, this text focuses on the conundrum between the academics ability to distinguish between failing and non-failing businesses with models of over 85.5per cent accuracy, and the reasons why credit agencies and the like do not act on such information. The author asks, are the models defective?
Predicting Corporate Failure
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Author : John Argenti
language : en
Publisher:
Release Date : 1978
Predicting Corporate Failure written by John Argenti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with Business failure categories.
Revisiting The Relation Between Distress Risk And Stock Returns
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Author : Michael S. O'Doherty
language : en
Publisher:
Release Date : 2010
Revisiting The Relation Between Distress Risk And Stock Returns written by Michael S. O'Doherty and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Several prior studies use reduced-form models of bankruptcy or default risk to proxy for corporate distress and find evidence of a significant negative relation between distress risk and average returns. This paper introduces a substantially broader measure of firm failure risk, the probability a firm is delisted from a major U.S. stock exchange for performance reasons, and revisits the pricing of distressed stocks. In contrast to the prior literature, I find distressed stocks earn higher average returns than those with a low probability of failure. Moreover, distress risk is significantly priced in the cross section. While the size and value effects remain robust to controlling for failure risk, I find evidence that SMB and HML contain some distress-related information.