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