Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics
By Diana Bonfim. 2009
373 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/1027a11c4d7bdb06d031d89d1c2f21999fc2cc4b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Accounting
- Flavio Luiz de Moraes Barboza
- J. Zumwalt
- David Saunders
- Zhiyong Li
- Edward I. Altman
- Gary Monroe
- Herbert Kimura
- J. Peña
In Finance
- Flavio Luiz de Moraes Barboza
- Jonathan N. Crook
- J. Zumwalt
- David Saunders
- Edward I. Altman
- Gary Monroe
- Herbert Kimura
- J. Peña
Citations in the corpus
- Market discipline, financial crisis and regulatory changes: Evidence from Indonesian banks (2011, background): “9 We need to take into account macroeconomic factors because prior studies such as Männasoo and Mayes (2009) and Bonfim (2009) have shown that a macroeconomic shock is the typical precursor of bank distress or default.”
- Market Conditions, Default Risk and Credit Spreads (2010, neutral): “, Acharya, Bharath, and Srinivasan (2007), Bonfim (2009), Bruche and González-Aguado (2009), Carling, Jacobson, Lindé, and Roszbach (2007), Duffie, Saita, and Wang (2007), and Pesaran, Schuermann, Treutler, and Weiner (2006).”
- Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS (2009, background): “1 Understanding the drivers of credit risk (idiosync systematic factors) is an important issue for the assessm Bonfim (2009) for evidence on the relative importance 2 For instance, bond and CDS markets are almost ent any retail presence.”
- Risk factor contributions in portfolio credit risk models (2010, background): “See van der Vaart (1998) and the references therein for numerous applications.”
- Macroeconomic Determinants of the Credit Risk in the Banking System: The Case of the GIPSI (2013, background): “2 See, for example, Ahmad and Casu et al. (2006), Ariff (2007), Aver (2008), Saunders and Cornett (2008).”
- Machine learning models and bankruptcy prediction (2017, background): “Several papers have found relationships426 between default and macroeconomic variables (e.g. Chen and Wu, 2014; Yurdakul, 2014; Ali and Daly, 2010;427 Bonfim, 2009).”
- Predicting the risk of financial distress using corporate governance measures (2020, background): “…is a vast body of literature on bankruptcy prediction models that can be classified into accounting based models using financial ratios (e.g. Altman (1968) and Bonfim (2009)) and market based models using share prices (e.g. Milne (2014) and Campbell, Hilscher, and Szilagyi (2008)) respectively.”