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On account of great significance of financial distress prediction for corporations, it is essential to construct an effective prediction model for managers and investors. Traditional financial distress prediction methods design static models using samples within a period of time, but the static models are insensitive to changes, such as concept drift in financial distress. This paper proposed a dynamic...
This paper investigates the modeling of risk due to market and funding liquidity by capturing the joint dynamics of three time series: the treasury-Eurodollar spread, the VIX, and a metric derived from the S&P 500 spread. We propose a two-regime mean-reverting model for explaining the behaviour of three time series, which mirror liquidity levels for financial markets. An expectation-maximisation...
This paper does the empirical research on the relevance of ownership structure and financial distress in listed companies based on the data of ST corporations because of abnormal financial positions in year 2005–2009 and the paired corporations. The ownership structure is described by the nature of controlling shareholder, ownership centralization, ownership balancing and managements' holding percentage...
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