Determinants of the probability of default: the case of the internationally listed shipping corporations

Lozinskaia, Agata; Merikas, Andreas; Merika, Anna; Penikas, Henry

doi:10.1080/03088839.2017.1345018

Cited by 21 publications

(11 citation statements)

References 23 publications

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“…In general, we follow the process of PD model development documented in detail in our previous works (Lozinskaia et al, 2017;Ermolova and Penikas, 2017) for world shipping companies and large Russian corporations issuing publicly traded bonds. They use the probit and logit models originally proposed by Bliss (1934) and Berskon (1944), respectively.…”

Section: Methodsmentioning

confidence: 99%

Probability of Default Model to Estimate Ex Ante Credit Risk

Burova¹,

Henry

Popova³

2021

RJMF

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A genuine measure of ex ante credit risk links borrower’s financial position with the odds of default. Comprehension of a borrower’s financial position is proxied by the derivatives of its filled financial statements, i.e., financial ratios. We identify statistically significant relationships between shortlisted financial ratios and subsequent default events and develop a probability of default (PD) model that assesses the likelihood of a borrower going into delinquency at a one-year horizon. We compare the PD model constructed against alternative measures of ex ante credit risk that are widely used in related literature on bank risk taking, i.e., credit quality groups (prudential reserve ratios) assigned to creditors by banks and the credit spreads in interest rates. We find that the PD model predicts default events more accurately at a horizon of one year compared to prudential reserve rates. We conclude that the measure of ex ante credit risk developed is feasible for estimating risk-taking behaviour by banks and analysing shifts in portfolio composition.

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Section: Methodsmentioning

confidence: 99%

Probability of Default Model to Estimate Ex Ante Credit Risk

Burova¹,

Henry

Popova³

2021

RJMF

Self Cite

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“…Further, Lozinskaia et al (2017) find that both financial and non-financial variables are important in assessing the credit worthiness of shipping companies and specifically that the probability of default increases with one-year lags of Tobin's Q (proxied by the ratio Market value / Book value) and EBITDA (Earnings Before Interest, Tax, Dividends and Amortisation) and decreases with one-year lags of the Total Assets (size) of the company and the growth in GDP (Gross Domestic Product). Gong et al (2013) conducted a questionnaire-based survey of 12 ship-lending banks in Hong Kong over the period [2008][2009] and show that the loan quality and collateral used are the most important factors in assessing default risk.…”

Section: Shipping Bank Loans and Credit Risk Analysismentioning

confidence: 95%

A survey of shipping finance research: Setting the future research agenda

Alexandridis

Kavussanos

Kim

et al. 2018

Transportation Research Part E: Logistics and Transportation Re

112

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Financing shipping related investment projects has always been a focal area of debate and research within the international maritime industry since access to funding can determine the competitiveness of a capitalintensive business as well as its success or failure under adverse market conditions. This paper provides, for the first time, a comprehensive and structured survey of all published research in the area of shipping finance and investment. The review spans approximately four decades (1979-2018) of empirical evidence, including 162 studies published in 48 scholarly journals, complemented with select books and book chapters. The study provides a bibliometric analysis and comprehensive synthesis of existing research offering an invaluable source of information for both the academic community and business practice, shaping the future research agenda in shipping finance and investment. JEL Code: G10, G20, G30.

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“…The main resources of ship finance have traditionally been and are still banks (Kavussanos and Tsouknidis 2016). However, nowadays banks are seen to limit their funds to the shipping industry due to stricter financial regulations like Basel III (Lozinskaia et al 2017). Although there is an increasing trend for shipowners to raise funds by Initial Public Offering (IPO) or issuing bonds in capital markets (Albertijn, Bessler, and Drobetz 2011), this method does not suit most shipping companies because they are relatively small in capital markets (Stopford 2008).…”

Section: Ship Financingmentioning

confidence: 99%

Blockchain adoptions in the maritime industry: a conceptual framework

Lam

2020

Maritime Policy & Management

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Blockchain technology has become one of the emerging technologies set to disrupt the maritime industry. Maritime companies are increasingly exploring to adopt blockchain to stay ahead of competition. However, studies on blockchain applications in the maritime sector have been scarce and most of them are confined to a specific sector like the maritime shipping sector. Therefore, this study is motivated to provide a thorough analysis of blockchain applications from the perspectives of different sectors in the industry. It also aims to develop a novel conceptual framework to provide a holistic view of blockchain adoption in the industry and guide future research. The implication analysis of blockchain adoption indicates that for industry organisations, a good understanding of blockchain and their own specific problems and requirements is key before adopting the technology. For government agencies, technical code for blockchain can be utilised to govern blockchain innovation with the same effects as legal code. Lastly, recommendations are provided to various maritime stakeholders to seize the emerging opportunities provided by blockchain and mitigate relevant risks.

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Determinants of the probability of default: the case of the internationally listed shipping corporations

Cited by 21 publications

References 23 publications

Probability of Default Model to Estimate Ex Ante Credit Risk

Probability of Default Model to Estimate Ex Ante Credit Risk

A survey of shipping finance research: Setting the future research agenda

Blockchain adoptions in the maritime industry: a conceptual framework

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