Forecasting default probability without accounting data: evidence from Russia

Автор: Fantazzini Dean
Сборник: STOCK MARKET VOLATILITY
Год издания: 2009
Место издания: Chapman & Hall/CRC Finance Series
Первая страница: 535
Последняя страница: 556
Аннотация: The recent default of the multinational giants Enron, Parmalat and Worldcom clearly showed how accounting data can be misleading and far away from the true financial situation of a company. When financial fraud takes place, the models that use accounting data to predict default probabilities cannot be used since their forecasts are completely unreliable. To avoid such problems, we propose a novel approach that uses stock prices only, and allows to model departures from normality in stock returns dynamics, too. The parametric bootstrap, based on a conditional marginal model, is used to estimate the distribution of these estimated probabilities and to construct confidence bands. We show an empirical example with quoted Russian stocks as well as with American, Italian and Russian defaulted stocks, whose financial statements were found to be irregular.
Добавил в систему: Фантаццини Деан c.

	ИСТИНА	Войти в систему Регистрация
	ИСТИНА ИНХС РАН
	Главная Поиск Статистика О проекте Помощь

ИСТИНА