Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25340 
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dc.contributor.authorLöffler, Gunteren
dc.contributor.authorMaurer, Alinaen
dc.date.accessioned2009-04-29-
dc.date.accessioned2009-07-23T15:15:28Z-
dc.date.available2009-07-23T15:15:28Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/25340-
dc.description.abstractA firm's current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to a target leverage, we forecast future leverage ratios and include them in the set of default risk drivers. The analysis is done with a discrete duration model. Out-of-sample analysis of default events two to five years ahead reveals that the discriminating power of the duration model increases substantially when leverage forecasts are included. We further document that credit ratings contain information beyond the one contained in standard variables but that this information is unrelated to forecasts of leverage ratios.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2009,024en
dc.subject.jelG32en
dc.subject.jelG33en
dc.subject.ddc330en
dc.subject.keyworddefault predictionen
dc.subject.keyworddiscrete duration modelen
dc.subject.keywordleverage targetingen
dc.subject.keywordmean reversionen
dc.subject.keywordcredit ratingen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwKreditrisikoen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwKapitalstrukturen
dc.subject.stwMean Reversionen
dc.subject.stwTheorieen
dc.titleIncorporating the dynamics of leverage into default prediction-
dc.type|aWorking Paperen
dc.identifier.ppn598740201en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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