Temat: default - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Survival regression models for single event and competing risks based on pseudo-observations
Autorzy:: Wycinka, Ewa
Jurkiewicz, Tomasz
Powiązania:: https://bibliotekanauki.pl/articles/1359165.pdf
Data publikacji:: 2019-04-25
Wydawca:: Główny Urząd Statystyczny
Tematy:: probability of default
Opis:: Survival data is a special type of data that measures the time to an event of interest. The most important feature of survival data is the presence of censored observations. An observation is said to be right-censored if the time of the observation is, for some reason, shorter than the time to the event. If no censoring occurs in the data, standard statistical models can be used to analyse the data. Pseudo-observations can replace censored observations and thereby allow standard statistical models to be used. In this paper, a pseudo-observation approach was applied to single-event and competing-risks analysis, with special attention paid to the properties of the pseudo-observations. In the empirical part of the study, the use of regression models based on pseudo-observations in credit-risk assessment was investigated. Default, defined as a delay in payment, was considered to be the event of interest, while prepayment of credit was treated as a possible competing risk. Credits that neither default nor are prepaid during the follow-up were censored observations. Typical application characteristics of the credit and creditor were the covariates in the regression model. In a sample of retail credits provided by a Polish financial institution, regression models based on pseudo-observations were built for the single-event and competing-risks approaches. Estimates and discriminatory power of these models were compared to the Cox PH and Fine-Gray models.
Źródło:: Statistics in Transition new series; 2019, 20, 1; 171-188
1234-7655
Pojawia się w:: Statistics in Transition new series
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: The relationship between distance-to-default and CDS spreads as measures of default risk for European banks
Autorzy:: Ristolainen, Kim
Powiązania:: https://bibliotekanauki.pl/articles/565713.pdf
Data publikacji:: 2016
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: financial stability
European banks
distance-to-default
credit default swap
lead-lag
relationship
Opis:: CDS spreads are often seen as the ’leading’ market based, default risk measure. There is no popular alternative to CDS spreads except perhaps for the distance-to-default (D2D) measure based on Merton (1974), which comes very close to it. In this paper, we investigate the correlation and short-term dynamics between these two measures for large European banks with a data panel spanning from 1/2006 to 12/2013. The analysis makes use of conventional Granger causality test statistics for individual banks and for the whole panel data. As regards the results, we found that the lead-lag relationship between these highly related variables varies over time, over different banks, and over economic regimes. The lead of D2D is signifi cantly stronger for banks that are smaller relative to the other banks in the sample, banks in problem countries (PIIGS), after global financial crises, during market turmoil, and for banks with poor credit quality indicated by a high CDS spread. These results and the fact that D2D can be calculated for every bank quoted on the stock exchange suggests that D2D is a promising alternative to the CDS spread in default risk assessment of banks.
Źródło:: Journal of Banking and Financial Economics; 2016, 1(5); 121-143
2353-6845
Pojawia się w:: Journal of Banking and Financial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Sovereign default and the structure of private external debt
Autorzy:: Siwińska-Gorzelak, Joanna
Brzozowski, Michał
Powiązania:: https://bibliotekanauki.pl/articles/1357093.pdf
Data publikacji:: 2019-05-07
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Tematy:: Private external debt
sovereign default
Opis:: While the literature on determinants of sovereign default is voluminous, the links between private indebtedness and the probability of public bankruptcy have not been studied extensively. In this paper we aim to fill this gap and to shed more light on the influence of the size and structure of private debt on sovereign default probability. We focus on developing and emerging market economies over the years 1970–2012. The main conclusions are that both the size and the structure of private borrowings affect the probability of a sovereign default.
Źródło:: Central European Economic Journal; 2018, 5, 52; 1 - 9
2543-6821
Pojawia się w:: Central European Economic Journal
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Statistical models in enterprises default risk assessment – an example of application
Modele statystyczne w ocenie ryzyka niewypłacalności przedsiębiorstw – przykład zastosowań
Autorzy:: Ptak-Chmielewska, Aneta
Kuleta, Piotr
Powiązania:: https://bibliotekanauki.pl/articles/425008.pdf
Data publikacji:: 2018
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: default risk
logistic regression
Cox model
Opis:: Default risk assessment is crucial in the banking activity. Different models were developed in the literature using the discriminant analysis, logistic regression and data mining techniques. In this paper the logistic regression was applied to verify models proposed by R. Jagiełło for different sectors. As an alternative, the logistic regression model with the nominal variable SECTOR was applied on the pooled sample of enterprises. The dynamic approach using the Cox regression survival model was estimated. Including the nominal variable SECTOR only slightly increases the predictive power of the model (in the case of “defaults”). The predictive power of the Cox regression model is lower, the only advantage is the higher accuracy classification in the case of “defaulted” enterprises.
Źródło:: Econometrics. Ekonometria. Advances in Applied Data Analytics; 2018, 22, 1; 94-106
1507-3866
Pojawia się w:: Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 5.

Tytuł:: Classification of Trade Sector Entities in Credibility Assessment Using Neural Networks
Autorzy:: Wójcicka, Aleksandra
Powiązania:: https://bibliotekanauki.pl/articles/429810.pdf
Data publikacji:: 2017
Wydawca:: Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
Tematy:: credit risk
default
bankruptcy
neural networks
Opis:: One of the most valid tasks in credit risk evaluation is the proper classification of potential good and bad customers. Reduction of the number of loans granted to companies of questionable credibility can significantly influence banks’ performance. An important element in credit risk assessment is a prior identification of factors which affect companies’ standing. Since that standing has an impact on credibility and solvency of entities. The research presented in the paper has two main goals. The first is to identify the most important factors (chosen financial ratios) which determine company’s performance and consequently influence its credit risk level when granted financial resources. The question also arises whether the line of business has any impact on factors that should be included in the analysis as the input. The other aim was to compare the results of chosen neural networks with credit scoring system used in a bank during credit risk decision-making process.
Źródło:: Optimum. Economic Studies; 2017, 3(87)
1506-7637
Pojawia się w:: Optimum. Economic Studies
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Management of financial risks in Slovak enterprises using regression analysis
Autorzy:: Valaskova, Katarina
Kliestik, Tomas
Kovacova, Maria
Powiązania:: https://bibliotekanauki.pl/articles/18799016.pdf
Data publikacji:: 2018
Wydawca:: Instytut Badań Gospodarczych
Tematy:: financial risk
default
bankruptcy
regression model
Opis:: Research background: Financial risk management is the task of monitoring financial risks and managing their impact. Financial risk is often perceived as the risk that a company may default on its debt payments. The issue of the debt, default or prosperity of the company are presented in the article as one of the ways of the risk management. A prediction of corporate default is an inseparable element of the risk management. Mainly the consequences of risk are the engine of research and development of methods and models, which enable to predict economic and financial situation in specific conditions of global economies. Purpose of the article: The main aim of the presented article is to assess financial risks of Slovak entities, realized by the identification of significant factors and determinants affecting the prosperity of Slovak companies. Methods: To conduct the research we have used the data of Slovak enterprises, obtained from annual financial reports covering the year 2015 and the calculated financial ratios of profitability, activity, liquidity and indebtedness that may affect the financial health of the company were applied in the regression analysis. Realizing the multiple regression analysis, the statistically significant determinants that affect the future financial development of the company are identified, as well as the regression model of the bankruptcy prediction. Findings & Value added: In the research aimed at the management of financial risks in Slovak enterprises, we focused on the revelation of significant economic risk factors using multiple regression. The results suggest that the most significant predictors are net return on capital, cash ratio, quick ratio, current ratio, net working capital, RE/TA ratio, current debt ratio, financial debt ratio and current assets turnover based on which the decision about the future company default can be made. These factors are significant enough to manage financial risks and to affect the profitability and prosperity of the company.
Źródło:: Oeconomia Copernicana; 2018, 9, 1; 105-121
2083-1277
Pojawia się w:: Oeconomia Copernicana
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 7.

Tytuł:: On Undecidability of Non-monotonic Logic
Autorzy:: Suchenek, M. A.
Powiązania:: https://bibliotekanauki.pl/articles/92958.pdf
Data publikacji:: 2006
Wydawca:: Uniwersytet Przyrodniczo-Humanistyczny w Siedlcach
Tematy:: default logic
autoepistemic logic
asymptotic decidability
Opis:: The degree of undecidability of nonmonotonic logic is investigated. A proof is provided that arithmetical but not recursively enumerable sets of sentences definable by nonmonotonic default logic are elements of ∆_n+1 but not Σ _n nor Π _n for some n ≥1 in Kleene- Mostowski hierarchy of arithmetical sets.
Źródło:: Studia Informatica : systems and information technology; 2006, 1(7); 127-132
1731-2264
Pojawia się w:: Studia Informatica : systems and information technology
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 8.

Tytuł:: Ochrona praw obligatariuszy przed naruszeniami i nadużyciami emitentów na przykładzie obligacji spółki GetBack SA
Protection of bondholders rights against fraud of issuers on the example of the GetBack company
Autorzy:: Lepczyński, Błażej
Pisarewicz, Piotr
Powiązania:: https://bibliotekanauki.pl/articles/584549.pdf
Data publikacji:: 2018
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: ochrona praw obligatariuszy
obligacje
default (zaprzestanie płatności)
protection of bondholders rights
bonds
default (cessation of payments)
Opis:: Podstawowym ryzykiem dla inwestorów na rynku obligacji jest zawsze niebezpieczeństwo zawieszenia płatności i niewypłacalność emitenta. Tego typu sytuacje występują na rynkach obligacji korporacyjnych z różnym nasileniem. Pojawienie się spektakularnego problemu z obsługą płatności przez podmiot emitujący obligacje na dużą skalę skłania do przyjrzenia się systemowi ochrony obligatariuszy przed naruszeniami i nadużyciami emitentów i wczesnego ostrzegania przed problemami z obsługą obligacji. Celem podjętych badań było przedstawienie najważniejszych elementów formalnoprawnych i rynkowych chroniących obligatariuszy przed nadużyciami emitentów obligacji oraz identyfikacja słabości w tym zakresie na przykładzie spółki GetBack SA. Przyjęto hipotezę, że obecny system ochrony obligatariuszy bywa zawodny i w niedostatecznym stopniu chroni interesy obligatariuszy. Z przeprowadzonych badań wynika, że reakcja instytucji nadzorczej w przypadku badanej spółki najprawdopodobniej była spóźniona, a wpisane w warunkach emisji kowenanty finansowe stwarzały pozory ochrony. Badanie potwierdziło również zawodność agencji ratingowych, które zbyt późno dokonały zmiany ratingu badanej spółki.
The basic risk in the corporate bond market is the risk of default and bankruptcy of an issuer. Such situations occur on corporate demand markets with varying degrees of severity. The main aim of the paper was to present the most important legal and market elements protecting bondholders against abuse of issuers of bonds and identification of weaknesses in this protection on the example of GetBack. The hypothesis is that the current system of protection of bondholders against the abuse of issuers is unreliable and insufficiently protects the interests of bondholders. The research shows that the reaction of the supervisory institution in the case of the audited company was overdue and covenants included in the terms of the issue created a semblance of protection. The research shows also the failure of credit rating agencies that changed the rating too late.
Źródło:: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2018, 531; 313-324
1899-3192
Pojawia się w:: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 9.

Tytuł:: METODOLOGIA POSTĘPOWANIA PRZY REKONSTRUKCJI RAMY KOGNITYWNEJ POJĘCIA TOLERANCJI NA PODSTAWIE MODELU SEMANTYKI RAMOWEJ ALEXANDRA ZIEMA
METHODOLOGY OF RECONSTRUCTING THE COGNITIVE FRAME OF THE CONCEPT TOLERANCJA BASED ON THE FRAME SEMANTICS MODEL BY ALEXANDER ZIEM
Autorzy:: Dudzik, Karina
Powiązania:: https://bibliotekanauki.pl/articles/445052.pdf
Data publikacji:: 2017-06-01
Wydawca:: Uniwersytet Warmińsko-Mazurski w Olsztynie
Tematy:: frame semantics
slots
default values
fillers
tolerance
Opis:: The principal aim of this article is to present the author’s own analysis model for the creation of a holistic cognitive definition of ‘tolerance’, based on Alexander Ziem’s semantic frame theory. Starting with frame and its constituent elements (slots, fillers, default values), the author compares her own concept and Ziem’s model, demonstrating both similarities and differences that can be explained by various aims of the analysis. The last part discusses the advantages of the frame semantics perspective in the research, including contrastive research concerning the meaning of linguistic expressions.
Źródło:: Acta Neophilologica; 2017, XIX/1; 97-105
1509-1619
Pojawia się w:: Acta Neophilologica
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 10.

Tytuł:: Surface transfer in the acquisition of grammatical gender in L2 Swedish. A longitudinal study
Autorzy:: Długosz, Kamil
Powiązania:: https://bibliotekanauki.pl/articles/27314187.pdf
Data publikacji:: 2023
Wydawca:: Uniwersytet im. Adama Mickiewicza w Poznaniu
Tematy:: grammatical gender
surface transfer
default gender
Swedish
Opis:: This longitudinal study explores two specific aspects of the acquisition of grammatical gender in L2 Swedish: the use of a default gender and surface transfer. Twenty-one L1 Polish university students of L2 Swedish were tested by means of an untimed gender assignment task after two, three, and four semesters of studying. The data were analysed using a two-way ANOVA for repeated measures. Participants had more success in assigning gender to Swedish nouns that shared gender across Polish and Swedish than to Swedish nouns that differed in gender across the two languages, regardless of length of experience in learning Swedish. Contrary to previous studies that observed overgeneralisation of uter gender forms in production, this study did not identify the tendency to use uter as a default, presumably because participants had unlimited time to perform the task. This finding points to a dissociation between the knowledge of grammatical gender and the ability to use it during processing.
Źródło:: Folia Scandinavica Posnaniensia; 2023, 33; 4-13
1230-4786
2299-6885
Pojawia się w:: Folia Scandinavica Posnaniensia
Dostawca treści:: Biblioteka Nauki

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