Technical paper/Bankruptcy
Benchmarking machine learning models to predict corporate bankruptcy
Based on a comprehensive sample, the authors benchmark machine learning models in the prediction of financial distress of publicly traded US firms, with gradient-boosted tress outperforming other models in one-year-ahead forecasts.
Central counterparties: magic relighting candles?
In this paper, the rules of selected major CCPs (LCH, CME, Eurex and ICE) are reviewed for both their end-of-waterfall procedures and the rights granted to clearing members in end-of-waterfall scenarios.
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
Financial and nonfinancial variables as long-horizon predictors of bankruptcy
This paper assesses the predictive ability of financial and nonfinancial variables for a long horizon in a large cross-sectional sample of Finnish firms
Ultimate recoveries
Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult. Craig Friedman and Sven Sandow tackle the problem by maximising the creditor’s utility function, constructed…