Determinants of corporate default: a BMA approach

Carlos González-Aguado and Enrique Moral-Benito
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Carlos González-Aguado: BLUECAP

No 1221, Working Papers from Banco de España

Abstract: Model uncertainty hampers consensus on the main determinants of corporate default. We employ Bayesian model averaging (BMA) techniques in order to shed light on this issue. Empirical findings suggest that the most robust determinants of corporate default are firm-specific variables such as the ratio of working capital to total assets, the ratio of retained earnings to total assets, the ratio of total liabilities to total assets and the standard deviation of the firm’s stock return. In contrast, aggregate variables do not seem to play a relevant role once firm-specific characteristics (observable and unobservable) are taken into consideration

Keywords: Default probabilities; Bayesian model averaging; Credit Risk (search for similar items in EconPapers)
JEL-codes: C1 G33 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2012-06
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /12/Fich/dt1221e.pdf First version, June 2012 (application/pdf)

Related works:
Journal Article: Determinants of corporate default: a BMA approach (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1221

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