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Instituto Superior de Economia e Gestão (ISEG)

Eventos

ISEG 2S | Cyclicality and Firm-size in Private Firm Defaults

Em 11-10-2013 às 14:00 / Quelhas 6 | Floor 3 | Delta Room

Speaker
David Lando
Copenhagen Bussiness School


Presentation

Cyclicality and Firm-size in Private Firm Defaults

Abstract
The Basel II and III Accords treat loans to small firms as less sensitive to macroeconomic cyclicality than loans to larger firms. We investigate, in an intensity regression framework, whether this is appropriate using a sample of private firms. In our models, we find that accounting ratios are important mainly for ranking firms, and we identify the macro variables which are important for default prediction over time. We find little support-both in a Cox regression setting and using an additive intensity model-for the hypothesis that smaller firms are less sensitive to macroeconomic cyclicality.

Complete calendar
To see the full calendar please click here.

ORGANIZING TEAM
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).


MEETING THE SPEAKER
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.


MAILING LIST
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.


PARKING
If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.