New stochastic model applied in assessment of the financial distress

Jerzy K. Filus, Lidia Z. Filus, Zbigniew Krysiak

Abstract


In this paper, based on the research study performed by Krysiak and Seaman in 2012, we are trying to develop the stochastic model which would be applied for identification the level of financial distress within the enterprises caused by the banking sector. The shifting of risk phenomenon between financial and non-financial enterprises creates a kind of distress on the side of non-financial institutions leading to a chain of bankruptcies. Risk-shifting does not have anything to do with risk transfer for hedging or risk mitigating purposes. The paper is focused on new stochastic models, which would be applied to identify the circumstances at which arises the danger for huge number scale of bankruptcies within the enterprise sector, what can lead as well to the crisis on a big scale.

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Published: 2015-09-28

How to Cite this Article:

Jerzy K. Filus, Lidia Z. Filus, Zbigniew Krysiak, New stochastic model applied in assessment of the financial distress, Math. Finance Lett., 2015 (2015), Article ID 8

Copyright © 2015 Jerzy K. Filus, Lidia Z. Filus, Zbigniew Krysiak. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Mathematical Finance Letters

ISSN 2051-2929

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