How to cite this paper
Valahzaghard, M & Lemraski, Z. (2014). The relationship between operating cash flow per share and portfolio default probability.Management Science Letters , 4(3), 577-582.
Refrences
Altman, E. I., Brady, B., Resti, A., & Sironi, A. (2005). The link between default and recovery rates: Theory, empirical evidence, and implications. The Journal of Business, 78(6), 2203-2228.
Behr, A., Kamp, A., Memmel, C. & Pfingsten, A., (2007). Diversification and the banks’ risk-return-characteristics – evidence from loan portfolios of German banks. Discussion Paper, Banking and Financial Studies 2.
Crosbie, P. & Bohn, J., (2003). Modeling Default Risk, Modeling Methodology. Moody`s KMV Company.
Ericsson, J., & Reneby, J. (1998). A framework for valuing corporate securities. Applied Mathematical Finance, 5, 143-163.
Fan, H., & Sundaresan, S. (2000). Debt valuation, renegotiations and optimal dividend policy. Review of Financial Studies, 13(4), 1057-1099.
Helwege, J., & Kleiman, P. (1996). Understanding aggregate default rates of high yield bonds. Current Issues in Economics and Finance, 2(6).
Jonsson, J. G., & Fridson, M. S. (1996). Forecasting default rates on high-yield bonds. The Journal of Fixed Income, 6(1), 69-77.
Keenan, S. C., Hamilton, D. T., & Berthault, A. (2000). Historical default rates of corporate bond issuers, 1920-1999. Moody’s Investors Services.
Leland, H. E. (2002). Prediction of expected default frequencies in structural models of debt. Working paper, UCLA, Berkeley.
Lu, S. L., & Tsai, P. C. (2009). How to gauge the default risk? An empirical application of structural-form models. International Research Journal of Finance and Economics, (29), 227-237.
Witzany, J., (2009). Definition of default and quality of scoring functions. Working Paper, University of Economics-Prague.
Zeitun, R., Tian, G., & Keen, K. (2007). Default probability for the Jordanian companies: A test of cash flow theory. International Research Journal of Finance and Economics, 8, 147-162
Behr, A., Kamp, A., Memmel, C. & Pfingsten, A., (2007). Diversification and the banks’ risk-return-characteristics – evidence from loan portfolios of German banks. Discussion Paper, Banking and Financial Studies 2.
Crosbie, P. & Bohn, J., (2003). Modeling Default Risk, Modeling Methodology. Moody`s KMV Company.
Ericsson, J., & Reneby, J. (1998). A framework for valuing corporate securities. Applied Mathematical Finance, 5, 143-163.
Fan, H., & Sundaresan, S. (2000). Debt valuation, renegotiations and optimal dividend policy. Review of Financial Studies, 13(4), 1057-1099.
Helwege, J., & Kleiman, P. (1996). Understanding aggregate default rates of high yield bonds. Current Issues in Economics and Finance, 2(6).
Jonsson, J. G., & Fridson, M. S. (1996). Forecasting default rates on high-yield bonds. The Journal of Fixed Income, 6(1), 69-77.
Keenan, S. C., Hamilton, D. T., & Berthault, A. (2000). Historical default rates of corporate bond issuers, 1920-1999. Moody’s Investors Services.
Leland, H. E. (2002). Prediction of expected default frequencies in structural models of debt. Working paper, UCLA, Berkeley.
Lu, S. L., & Tsai, P. C. (2009). How to gauge the default risk? An empirical application of structural-form models. International Research Journal of Finance and Economics, (29), 227-237.
Witzany, J., (2009). Definition of default and quality of scoring functions. Working Paper, University of Economics-Prague.
Zeitun, R., Tian, G., & Keen, K. (2007). Default probability for the Jordanian companies: A test of cash flow theory. International Research Journal of Finance and Economics, 8, 147-162