A Market-Based Framework for Bankruptcy Prediction

By Alexander Reisz, Claudia Perlich. 2007

175 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/14ccb4971ea81d58cb1364b595d02e4c6e6b1ffb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

Citations in the corpus

CREDIT RISK MODELING AND VALUATION: AN INTRODUCTION (2004, unknown): “Reisz & Perlich (2004) point out that if the barrier is below the bond’s face value, then our earlier definition (6) does not reflect economic reality anymore: it does not capture the situation when the firm is in default because VT < K although MT > D.”
Are hazard models superior to traditional bankruptcy prediction approaches? A comprehensive test (2014, methodology): “Hillegeist et al. (2004) use information content tests to conclude that the contingent claims approach dominates the traditional accounting-based approach while Reisz and Perlich (2007) reach the opposite conclusion using Receiver Operating Characteristics (ROC) analysis.”
Distressed Firm and Bankruptcy Prediction in an International Context: A Review and Empirical Analysis of Altman's Z-Score Model (2014, unknown): “In Reisz and Perlich (2007), it was assessed as a better measure for short-term bankruptcy prediction than the market-based models and in Das, Hanouna and Sarin, (2009), it was shown to perform comparably to the Merton structural, market-based approach for CDS spread estimation.”
The performance of insolvency prediction and credit risk models in the UK : a comparative study, development and wider application (2012, unknown): “Similar probabilities can also be found in Cox and Millar (1965), Ingersoll (1987), Rich (1994), and Reisz and Purlich (2007).”
Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013, background): “Bharath and Shumway (2008), Hillegeist, Keating, Cram, and Lundstedt (2004), Reisz and Perlich (2007), and Vassalou and Xing (2004) have employed the contingent claims approach to estimate the likelihood of corporate failure.”