Using accounting-based and loan-related information to estimate the cure probability of a defaulted company |
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| Authors: | Christian Lohmann Thorsten Ohliger |
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| Institution: | 1. Schumpeter School of Business and Economics, University of Wuppertal, Germany;2. parcIT GmbH, Cologne, Germany |
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| Abstract: | The cure of a defaulted company has important implications for the estimation of the loss given default. In this study, we estimate the probability of a defaulted company being cured using data on a large international sample of defaulted companies. More specifically, we examine whether historic accounting information on a defaulted company and loan-related information are associated with that company's probability of being cured. The main finding of our analysis is that both accounting-based and loan-related independent variables increase the validity of cure prediction models. |
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| Keywords: | accounting information company cure collateralization cure probability defaulted company Global Credit Data |
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