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2009-04-24Buch DOI: 10.18452/4189
Incorporating the Dynamics of Leverage into Default Prediction
dc.contributor.authorLöffler, Gunter
dc.contributor.authorMaurer, Alina
dc.date.accessioned2017-06-15T23:55:09Z
dc.date.available2017-06-15T23:55:09Z
dc.date.created2009-04-30
dc.date.issued2009-04-24
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4841
dc.description.abstractA firm’s current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to a target leverage, we forecast future leverage ratios and include them in the set of default risk drivers. The analysis is done with a discrete duration model. Out-of-sample analysis of default events two to five years ahead reveals that the discriminating power of the duration model increases substantially when leverage forecasts are included. We further document that credit ratings contain information beyond the one contained in standard variables but that this information is unrelated to forecasts of leverage ratios.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectdefault predictioneng
dc.subjectdiscrete duration modeleng
dc.subjectleverage targetingeng
dc.subjectmean reversioneng
dc.subjectcredit ratingeng
dc.subject.ddc330 Wirtschaft
dc.titleIncorporating the Dynamics of Leverage into Default Prediction
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10097577
dc.identifier.doihttp://dx.doi.org/10.18452/4189
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue24
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

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