دانلود مقاله ISI انگلیسی شماره 48643
عنوان فارسی مقاله

چرا بازارهای ریسک اعتباری برای برگزاری نمایشگاه ساختارهای قانون قدرت ورود به سیستم تناوبی از پیش تعیین می شود

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
48643 2014 23 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Why credit risk markets are predestined for exhibiting log-periodic power law structures
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 393, 1 January 2014, Pages 427–449

کلمات کلیدی
پیش فرض پیش بینی - رگرسیون لجستیک - رگرسیون لجستیک چندجمله ای - رگرسیون لجستیک هسته - معاوضه پیش فرض اعتباری - قدرت قانون تناوبی ورود
پیش نمایش مقاله
پیش نمایش مقاله چرا بازارهای ریسک اعتباری برای برگزاری نمایشگاه ساختارهای قانون قدرت ورود به سیستم تناوبی از پیش تعیین می شود

چکیده انگلیسی

Recent research has established the existence of log-periodic power law (LPPL) patterns in financial institutions’ credit default swap (CDS) spreads. The main purpose of this paper is to clarify why credit risk markets are predestined for exhibiting LPPL structures. To this end, the credit risk prediction of two variants of logistic regression, i.e. polynomial logistic regression (PLR) and kernel logistic regression (KLR), are firstly compared to the standard logistic regression (SLR). In doing so, the question whether the performances of rating systems based on balance sheet ratios can be improved by nonlinear transformations of the explanatory variables is resolved. Building on the result that nonlinear balance sheet ratio transformations hardly improve the SLR’s predictive power in our case, we secondly compare the classification performance of a multivariate SLR to the discriminative powers of probabilities of default derived from three different capital market data, namely bonds, CDSs, and stocks. Benefiting from the prompt inclusion of relevant information, the capital market data in general and CDSs in particular increasingly outperform the SLR while approaching the time of the credit event. Due to the higher classification performances, it seems plausible for creditors to align their investment decisions with capital market-based default indicators, i.e., to imitate the aggregate opinion of the market participants. Since imitation is considered to be the source of LPPL structures in financial time series, it is highly plausible to scan CDS spread developments for LPPL patterns. By establishing LPPL patterns in governmental CDS spread trajectories of some European crisis countries, the LPPL’s application to credit risk markets is extended. This novel piece of evidence further strengthens the claim that credit risk markets are adequate breeding grounds for LPPL patterns.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.