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Full-Text Articles in Business
The Value Of Official Website Information In The Credit Risk Evaluation Of Smes, Cuiqing Jiang, Chang Yin, Qian Tang, Zhao Wang
The Value Of Official Website Information In The Credit Risk Evaluation Of Smes, Cuiqing Jiang, Chang Yin, Qian Tang, Zhao Wang
Research Collection School Of Computing and Information Systems
The official websites of small and medium-sized enterprises (SMEs) not only reflect the willingness of an enterprise to disclose information voluntarily, but also can provide information related to the enterprises’ historical operations and performance. This research investigates the value of official website information in the credit risk evaluation of SMEs. To study the effect of different kinds of website information on credit risk evaluation, we propose a framework to mine effective features from two kinds of information disclosed on the official website of a SME—design-based information and content-based information—in predicting its credit risk. We select the SMEs in the software …
How Does Credit Risk Affect Cost Management Strategies? Evidence On The Initiation Of Credit Default Swap And Sticky Cost Behavior, Jing Dai, Nan Hu, Rong Huang, Yan Yan
How Does Credit Risk Affect Cost Management Strategies? Evidence On The Initiation Of Credit Default Swap And Sticky Cost Behavior, Jing Dai, Nan Hu, Rong Huang, Yan Yan
Research Collection School Of Computing and Information Systems
In this paper, we examine the effect of credit defaults swaps (CDS) initiation on reference firms' cost management strategies. CDS contracts provide insurance protection for creditors, inducing a shift in bargaining power from borrowers to creditors and an excessive incidence of bankruptcy. Anticipating more intransigent creditors in debt renegotiations and higher bankruptcy risk, CDS firms are incentivized to mitigate risk through decreasing cost stickiness after CDS initiation, as cost stickiness lowers liquidity and triggers early covenant violations. We find that, on average, CDS initiation is associated with a decline in reference firms' cost stickiness. This association is more pronounced for …
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Research Collection School Of Economics
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact ¯nite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion …