Estimating the Probability of Financial Distress in European Markets: Prediction Models and Empirical Applications

Andrea Cerri and Gimede Gigante
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Andrea Cerri: Cattolica University of Milan

Chapter 3 in Bank Performance, Risk and Securitization, 2013, pp 37-52 from Palgrave Macmillan

Abstract: Abstract Until now, financial performance indicators as a means of default forecast tools have been less frequently employed in Europe than in the United States; a widespread practice in fact is that each financial institution develops and applies its own bankruptcy prediction model. One of the most relevant indicators in the United States has historically been the Z-Score model, developed by Professor E. Altman in the late sixties.

Keywords: European Market; Financial Distress; Default Rate; Loss Give Default; Merton Model (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-1-137-33209-7_4

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DOI: 10.1057/9781137332097_4

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