1,721,014 research outputs found
Z-Score models' applications to Italian companies subject to Extraordinary Administration
No full textIt is normal for companies, during their life cycle, to alternate between positive and negative phases, periods of success and failure. When a negative period shifts from temporary to structural and chronic (and thus continues over time), the company is often destined to go bankrupt. The uncertainty regarding the exact moment when this takes place has brought about a plethora of quantitative and qualitative models aimed at predicting bankruptcy. This study applies the most well-known of these models, the Z-Score, through an application to Italian companies subject to Extraordinary Administration (a sort of Italian Chapter 11) between 2000 and 2010. Since Italy is one of the pivotal countries that will likely decide the fate of the Euro, methods to identify firms that may need financial support takes on an even more important effort than in normal times
Recovery Risk - The next Challenge in Credit Risk Management
No full textThe measurement of LGD - the share of an exposure that is actually lost when a borrower defaults - is a critical area of the science of credit analysis.
Topics covered include:
- Using multivariate models for the estimation of LGD
- Exploring the links between LGD and default risk
- Providing a Basel II compliant framework for LGD estimation
- Full accounts of the latest developments in the field of LGD analysis
- Includes a full summary of results of academic research in LGD measurement over the past 10 years, including the latest research findings from the main empirical and theoretical academic
The PD/LGD link: Implications for Credit Risk Modeling
No full textBy means of two different simulation engines, we assess the consequences - for bank risk estimates and their evolution over time - of the correlation existing between default and recovery risk, a proven fact that is often overlooked in credit risk models
Loss Given Default - A Review of the Literature
No full textThis Chapter surveys the literature on the estimation of expected LGD and recovery risk, critically discussing the various ways it was dealt with under different approaches (structural models, reduced-form models, portfolio models) and highlighting avenues for future research
The PD/LGD link: Empirical Evidence from the Bond Market
No full textThrough an empirical analysis of the US speculative-grade bond market we show that recovery rates tend to be lower as default rates increase. By means of a multivariate model we discuss the possibile causes and explanations for this funding
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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