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Multi-objective evolutionary algorithms for feature selection : application in bankruptcy prediction

Gaspar-Cunha, A.; Mendes, F.; Duarte, J.; Vieira, Armando; Ribeiro, Bernardete; Ribeiro, André M. S.; Neves, João Carvalho
Fonte: Springer Publicador: Springer
Tipo: Conferência ou Objeto de Conferência
Publicado em //2010 Português
Relevância na Pesquisa
36.87%
A Multi-Objective Evolutionary Algorithm (MOEA) was adapted in order to deal with problems of feature selection in datamining. The aim is to maximize the accuracy of the classifier and/or to minimize the errors produced while minimizing the number of features necessary. A Support Vector Machines (SVM) classifier was adopted. Simultaneously, the parameters required by the classifier were also optimized. The validity of the methodology proposed was tested in the problem of bankruptcy prediction using a database containing financial statements of 1200 medium sized private French companies. The results produced shown that MOEA is an efficient feature selection approach and the best results were obtained when the accuracy, the errors and the classifiers parameters are optimized.

Factors Associated with Suicide and Bankruptcy in Japanese Pathological Gamblers

Komoto, Yasunobo
Fonte: Springer US Publicador: Springer US
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.23%
Pathological gambling can lead to a number of deleterious consequences, including bankruptcy and suicide. The present study examined the correlation between clinical characteristics of pathological gamblers and history of bankruptcy and suicide attempts. Subjects (141; 124 male) were outpatients at a psychiatric hospital from 2007 to 2010. Demographic and medical variables including age, gender, age of gambling onset, psychiatric complications, suicide attempts, and bankruptcy were assessed. Positive correlations were observed between suicide attempt and female gender, family history of addiction, and unemployment (p < 0.05). Similar variables correlated with bankruptcy (p < 0.05). Multivariate analysis revealed that a family history of addiction was the strongest independent predictor of suicide and bankruptcy. Results suggest that treatment for pathological gambling should address the patient’s past experience with addict family members, especially if the patient reports a history of bankruptcy or suicidal ideation.

Washington Cancer Patients Found To Be At Greater Risk For Bankruptcy Than People Without A Cancer Diagnosis

Ramsey, Scott D.; Blough, David K.; Kirchhoff, Anne C.; Fedorenko, Catherine R.; Snell, Kyle S.; Kreizenbeck, Karma L.; Newcomb, Polly; Hollingworth, William; Overstreet, Karen A.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.28%
Much has been written about the relationship between a person’s high medical expenses and his or her likelihood of filing for bankruptcy, but the relationship between receiving a cancer diagnosis and filing for bankruptcy is less well understood. We estimated the incidence and relative risk of bankruptcy for people age twenty-one or older diagnosed with cancer compared to people the same age without cancer by conducting a retrospective cohort analysis that used a variety of medical, personal, legal, and bankruptcy sources covering the Western District of Washington State in US Bankruptcy Court for the period 1995–2009. We found that cancer patients were 2.65 times more likely to go bankrupt than people without cancer. Younger cancer patients had 2–5 times higher rates of bankruptcy compared to cancer patients age sixty-five or older, indicating that Medicare insurance and Social Security may mitigate bankruptcy risk for the older group. The findings suggest that employers and governments may have a policy role to play in creating programs and incentives that could help people cover expenses in the first year following a cancer diagnosis.

Tightening Your Belt: Inequities and Inconsistencies Regarding the Treatment of Food, Prescription Drugs, and Cigarettes In the United States Bankruptcy Code

Bramson, Jeffrey Scott
Fonte: Harvard University Publicador: Harvard University
Tipo: Paper (for course/seminar/workshop)
Português
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27.23%
Debtors seeking to file bankruptcy may do so under either Chapter 7 or Chapter 13 of the Bankruptcy Code. In either case, the bankruptcy system must determine what expenses will be allowed for the debtor in bankruptcy, including for substances such as food, drugs, and cigarettes. This paper examines the treatment of these three substances by the Bankruptcy Code and judges, based on the three standards that appear in the Code: (1) what is allowed by the IRS National Standards, (2) what would constitute “abuse” of the system, and (3) what expenses are “reasonably necessary.” We then discuss five adverse effects that result from these provisions, including horizontal inequities between Chapter 7 and Chapter 13, unfair geographical variations, vertical inequities between wealthier and poorer debtors, inconsistent judicial application of the rules, and inconsistency between the bankruptcy regime and other federal agencies and priorities.

Derivatives Safe Harbors in Bankruptcy and Dodd-Frank: A Structural Analysis

Adams, Stephen D
Fonte: Harvard University Publicador: Harvard University
Tipo: Paper (for course/seminar/workshop)
Português
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27.45%
The Bankruptcy Code exempts financial derivatives and repurchase agreements from key provisions, such as the automatic stay. The primary rationale for this special treatment has been the fear that the failure of an important market participant could cascade if counterparties could not immediately exit their contracts. Reflecting on the recent financial crisis and the Lehman bankruptcy, some scholars have suggested that exempting these financial contracts from bankruptcy may have exacerbated other kinds of systemic risk and contributed to the decision to bail out systemically important financial institutions (SIFIs) address this flaw by enacting a Bankruptcy alternative, Title II of the Dodd-Frank Act, instead of addressing the problems in the Bankruptcy Code safe harbors that were the source of the systemic risk. This article demonstrates that the view that Title II replaces bankruptcy reform is mistaken. Title II actually increases both the need and opportunity to reassess the proper limits of the safe harbors. Without bankruptcy reform, the threat of irreversible damage if the SIFI files bankruptcy before intervention may force Title II to compete with bankruptcy in order to reach potential SIFIs first. However, the difficulty in evaluating whether some firm failures involve systemic risk incentivizes Title II decisionmakers to intervene in cases of doubt...

The Ownership and Trading of Debt Claims in Chapter 11 Restructurings

Ivashina, Victoria; Iverson, Benjamin; Smith, David C.
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.28%
What is the ownership structure of bankrupt debt claims? How does the ownership evolve though bankruptcy? And how does debt ownership influence Chapter 11 outcomes? To answer these questions, we construct a data set that identifies the entire capital structure for 136 companies filing for U.S. Chapter 11 bankruptcy protection between 1998 and 2009 and that covers over 71,000 different investors. We categorize the investors in the capital structure of bankrupt firms according to their institutional type and track them from the initial filing until the vote on the plan of reorganization. We document several novel facts about the role of different institutional investors, the impact of debt ownership concentration, and the role of trading in bankruptcy. We find that trading during the case leads to higher concentration of ownership, particularly among debt claims that are eligible to vote on the bankruptcy plan of reorganization. Active investors, including hedge funds, are the largest net buyers of claims in bankruptcy. While initial ownership concentration is important for coordination of a prearranged bankruptcy filing, it is consolidation of ownership during bankruptcy—and specifically consolidation of ownership of voting classes—that has an impact on the speed of restructuring...

Restructuring Failed Financial Firms in Bankruptcy: Selling Lehman’s Derivatives Portfolio

Roe, Mark J.; Adams, Stephen
Fonte: Harvard John M. Olin Center for Law, Economics, and Business Publicador: Harvard John M. Olin Center for Law, Economics, and Business
Tipo: Research Paper or Report
Português
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27.4%
Lehman Brothers’ failure and bankruptcy is widely thought to have deepened the 2008 financial crisis whose negative effects the real economy is still experiencing. Yet, while financial regulation has changed in hopes of avoiding another crisis, bankruptcy rules such as those that governed Lehman’s failure, have not been changed at all. When Lehman failed, it lost considerable further value when its contracting counterparties terminated their financial contracts with Lehman. Hit by broad termination, Lehman’s overall value to its creditors degraded beyond the immediate losses that caused its downfall, and then, along with AIG’s failure several days later, the broad termination involving Lehman further deeply disrupted financial markets in the United States, and indeed the world. Lehman’s financial portfolio was thought to be running a paper profit of over $20 billion when it filed, and is said to have lost up to $75 billion as a result of the post-filing liquidation by Lehman’s counterparties of their deals with Lehman. How such a vast shift can occur, whether bankruptcy can ameliorate the problem (yes), and whether bankruptcy law has been updated since the financial crisis to handle the problem (no) are the subjects of this paper. For bankruptcy to handle a systemically important financial institution successfully...

The economics of personal bankruptcy

Link, Frederick, 1975-
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 183 p.; 6888475 bytes; 6888281 bytes; application/pdf; application/pdf
Português
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27.31%
This thesis examines the effect of bankruptcy law on consumer borrowing and welfare. The thesis consists of four theoretical chapters and two empirical chapters. Chapter 1 presents a simple model of consumer borrowing where the repayment of debt is governed by a bankruptcy law which allows a consumer to protect income below a given exemption level from creditors. Increasing bankruptcy exemption levels are found to increase borrowing and to increase consumer welfare so long as the consumer is borrowing less than the maximum amount possible. If consumers are borrowing the maximum amount possible, increasing exemption amounts increases credit constraints and decreases borrowing. Consumer welfare is maximized at the point where the marginal benefit the amount of insurance provided by the bankruptcy regime equals the marginal cost to reducing borrowing. Chapter 2 expands the model described in chapter 1 to include consumers who differ as to either their demand for credit or their ability to repay loans. The optimal exemption level is found to occur where the marginal cost due to increasing credit constraints to consumers with a higher demand for credit or a lower ability to repay is balanced against the increased insurance benefit provided to other borrowers.; (cont.) Chapter 3 considers the effect of bankruptcy law on credit markets with asymmetric information. I find that the possibility to receive a discharge of debt provided by bankruptcy law may cause consumers to distort their borrowing choices. Optimal exemption levels balance costs due to distortions in borrowing with benefits associated with increases in insurance. Chapter 4 presents a model of the effect of bankruptcy law on incentives to work. I find that increasing exemption levels may either increase or decrease incentives to work or to take risk. Chapter 5 examines the effect of exemption levels on household borrowing. I find that increasing personal property exemption levels are associated with higher levels of home mortgage debt and decreased probabilities that non-homeowners have greater than $50...

Saving Viable Businesses : The Effect of Insolvency Reform

Klapper, Leora
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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27.48%
The 2008 financial crisis and consequent rise in corporate insolvencies highlight the clear need for efficient bankruptcy systems to liquidate unviable firms and reorganize viable ones and to do so in a way that maximizes the proceeds for creditors, shareholders, employees, and other stakeholders. This note summarizes the empirical literature on the effect of insolvency reforms on economic and financial activity. Overall, research suggests that effective reforms increase timely repayments, reduce the cost of credit, and lower the rate of liquidation among distressed firms.

Pakistan - Strengthening the Insolvency Regime : Non-Lending Technical Assistance Final Report

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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27.38%
The importance of a modern, binding and effective insolvency regime is undeniable. Nearly 90 countries around the world have reformed their bankruptcy codes since Second World War, and over half of them have done so during the last decade. One of the key aspects in the reform process is the delicate balance addressed by a modern insolvency system which encourages the organization of viable firms and liquidates unviable firms. The financial and macroeconomic crises, as recently experienced in Pakistan, provide an opportunity for bankruptcy reform, as the potential employment impact often places the issue of insolvent companies high on the policy agenda. The three fundamental goals of any insolvency law are: 1) transparency, including a system for publicizing and indexing judgments, an accessible method for registering securing interest and an effective notice of insolvency proceedings, 2) predictability - in terms of being fair, simple and clear, which if not achieved ends up costing more as financial institutions compensate the uncertainty with additional credit costs; and 3) efficiency...

European and Best Practice Bank Resolution Mechanisms : An Assessment and Recommendations for Policy and Legal Reforms

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
Relevância na Pesquisa
27.28%
The process of bank resolution, or the procedure for handling insolvency of banks using a range of tools, including alternatives to standard bankruptcy processes, has gained major traction since the experience of the 2008-09 financial crisis. In this context, this report reviews models for bank resolution that provide increased flexibility and describes several of the supervisory, legal and instrumental tools that can be used under modernized bank resolution procedures. As well, it looks at the recent European Commission proposals on this matter which take into account international best practices experiences. It also highlights areas of reform and areas where further regulatory considerations and priorities should be considered. The report reviews the bank resolution regimes of a group of European countries as well as those of two non-EU countries to highlight advantages as well as gaps in the legal and regulatory frameworks. This report surveys the banking and deposit insurance laws of six European countries : Poland...

A statistical analysis of active duty Navy bankruptcies at the Jacksonville, Florida and San Diego, California bankruptcy courts

Sachse, Thomas W.
Fonte: Monterey, California. Naval Postgraduate School Publicador: Monterey, California. Naval Postgraduate School
Tipo: Tese de Doutorado
Português
Relevância na Pesquisa
27.31%
Approved for public release; distribution is unlimited.; This thesis presents the results of a statistical analysis conducted on active duty Navy bankruptcy cases filed in 1991 at the Jacksonville, Florida and San Diego, California bankruptcy courts. Results are presented for over 60 variables which were analyzed for the 96 active duty Navy bankruptcy cases in the sample. In addition, it provides a detailed explanation of the processes involved in filing Chapter 7 or Chapter 13 bankruptcy. The results of the analysis indicate that active duty Navy personnel in Jacksonville and San Diego file bankruptcy more often than the civilian population. In addition, active duty Navy personnel are filing bankruptcy with a significantly lower debt burden than civilians who file bankruptcy. The results also indicate that there is little difference between the financial conditions of sailors who file bankruptcy in Jacksonville and San Diego.

Early bankruptcy prediction using ENPC

Quintana, David; Sáez, Yago; Mochón, Asunción; Isasi, Pedro
Fonte: Springer Publicador: Springer
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em /10/2008 Português
Relevância na Pesquisa
36.87%
Bankruptcy prediction has long time been an active research field in finance. One of the main approaches to this issue is dealing with it as a classification problem. Among the range of instruments available, we focus our attention on the Evolutionary Nearest Neighbor Classifier (ENPC). In this work we assess the performance of the ENPC comparing it to six alternatives. The results suggest that this algorithm might be considered a good choice.

Insolvency institutions and efficiency

García-Posada, Miguel
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento
Publicado em 19/06/2015 Português
Relevância na Pesquisa
27.31%
While there is a vast literature on optimal bankruptcy laws and, specifically, on the optimal allocation of control rights between debtors and creditors in corporate bankruptcy, little has been said about the role that alternative insolvency institutions may play in the design of the optimal insolvency framework. This paper attempts to fill this gap by modelling two insolvency institutions -a bankruptcy system and a foreclosure system- that firms and their creditors may use when dealing with financial distress. Firms choose between one or the other based on lenders’ willingness to provide credit and the trade-off between two inefficiency costs, those from inefficient liquidations and those from productive inefficiencies caused by overinvestment in capital assets. The model’s key result is that welfare is a non-monotonic function of creditor control rights in bankruptcy, implying that a perfectly “creditor-friendly” bankruptcy code (a code that always grants control of the distressed firms to creditors) is very inefficient. A second result is that welfare is higher when the bankruptcy system is too “creditor-friendly” (i.e., it ensures the provision of credit, but generates too many inefficient liquidations) than when it is too “debtor-friendly”. Hence...

The Chrysler Effect : The Impact of the Chrysler Bailout on Borrowing Costs

Anginer, Deniz; Warburton, A. Joseph
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
27.45%
Did the U.S. government's intervention in the Chrysler reorganization overturn bankruptcy law? Critics argue that the government-sponsored reorganization impermissibly elevated claims of the auto union over those of Chrysler's other creditors. If the critics are correct, businesses might suffer an increase in their cost of debt because creditors will perceive a new risk, that organized labor might leap-frog them in bankruptcy. This paper examines the financial market where this effect would be most detectible, the market for bonds of highly unionized companies. The authors find no evidence of a negative reaction to the Chrysler bailout by bondholders of unionized firms. They thus reject the notion that investors perceived a distortion of bankruptcy priorities. To the contrary, bondholders of unionized firms reacted positively to the Chrysler bailout. This evidence suggests that bondholders interpreted the Chrysler bailout as a signal that the government will stand behind unionized firms. The results are consistent with the notion that too-big-to-fail government policies generate moral hazard in the credit markets.

What Does Debt Relief Do for Development? Evidence from India’s Bailout Program for Highly-Indebted Rural Households

Kanz, Martin
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
27.28%
This paper studies the impact of a large debt relief program, intended to attenuate investment constraints among highly-indebted households in rural India. It isolates the causal effect of bankruptcy-like debt relief settlements using a natural experiment arising from India's Debt Relief Program for Small and Marginal Farmers -- one of the largest debt relief initiatives in history. The analysis shows that debt relief has a persistent effect on the level of household debt, but does not increase investment and productivity as predicted by theories of debt overhang. Instead, the anticipation of future credit constraints leads to a greater reliance on informal financing, lower investment and a decline in productivity among bailout recipients. The results suggest that one-time settlements may be insufficient to incentivize new investment, but can have significant real effects through their impact on borrower expectations.

La faillite internationale: droit comparé, le système canadien et le système européen

Carré, Dobah
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
27.44%
La faillite internationale est une matière complexe qui a donné lieu à un long et vif débat doctrinal entre les tenants des systèmes de la territorialité et de l'universalité. Une faillite est internationale lorsqu'elle met en présence un débiteur possédant des biens ou des créanciers dans plus d'un pays. Puisque la matière de faillite est souvent très différente d'un pays à l'autre, l'application du système de la pluralité, retenue dans la plupart des pays, soulève plusieurs problèmes particulièrement en ce qui concerne la coordination entre les diverses faillites et le manque de protection des créanciers, notamment parce qu'elle accorde des effets limités à la reconnaissance des procédures de faillite étrangères. En effet, en présence de procédures de faillite concurrentes il s'agit de répondre aux questions suivantes: quelle est la juridiction compétente pour ouvrir et organiser la faillite? Quelle est la loi applicable? Dans quels États cette faillite va-t-elle produire des effets? Dans le présent mémoire, il s'agit d'établir une comparaison entre le système canadien et le système européen en matière de faillite internationale. Le législateur canadien a récemment envisagé de modifier sa législation sur la faillite pour permettre une meilleure coopération internationale en matière de faillite internationale. Le projet canadien C-55 reprend pour l'essentiel les dispositions contenues dans la loi-type de la commission des Nations-Unis pour le droit commercial international (CNUDCI) sur «l'insolvabilité internationale». Ainsi...

Essays in Corporate and Consumer Finance

Iverson, Benjamin Charles
Fonte: Harvard University Publicador: Harvard University
Tipo: Thesis or Dissertation
Português
Relevância na Pesquisa
27.41%
The first essay tests whether Chapter 11 restructuring outcomes are affected by time constraints in busy bankruptcy courts. Using the passage of the Bankruptcy Abuse Prevention and Consumer Protection Act in 2005 as an exogenous shock to court caseloads, I estimate the impact of bankruptcy caseload changes on the outcomes of firms in Chapter 11. I find that as bankruptcy judges become busier they tend to allow more firms to reorganize. Firms that reorganize in busy courts spend longer in bankruptcy, while firms that are dismissed from busy courts are more likely to re-file for bankruptcy within three years of their original filing. In addition, busy courts impose costs on local banks, which report higher charge-offs on business lending when caseload increases. Using novel data that has complete coverage of claims for 136 Chapter 11 bankruptcy protection filings and that includes detailed information on claims transfers, in the second essay we provide the first empirical insight on how a firm's ownership changes during the bankruptcy process and how these changes impact bankruptcy outcomes. Pre-bankruptcy ownership concentration is important for the coordination of a prearranged bankruptcy filing and is associated with a faster bankruptcy resolution and a higher likelihood of a successful reorganization. However...

Breaking Bankruptcy Priority: How Rent-Seeking Upends the Creditors' Bargain

Roe, Mark J.; Tung, Frederick
Fonte: Virginia Law Review Association Publicador: Virginia Law Review Association
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.36%
“Bankruptcy reallocates value in a faltering firm. The bankruptcy apparatus eliminates some claims and alters others, leaving a reduced set of claims to match the firm’s diminished capacity to pay. This restructuring is done according to statutory and agreed-to contractual priorities, so that lower-ranking claims are eliminated first and higher-ranking ones are preserved to the extent possible. Bankruptcy scholarship has long conceptualized this reallocation as a hypothetical bargain among creditors: creditors agree in advance that if the firm falters, value will be reallocated according to a fixed set of predetermined rules and contracts. In any given reorganization case, creditors may contest how the priority rules are applied — arguing over which creditor is prior and by how much. But once creditors’ relative status under the fixed priority rules is determined or compromised, the lowest-ranking financiers are eliminated. If there is not enough value left to go around for a group of equal-ranking creditors, creditors in that lowest-ranked group share proportionately. In this paper, we argue that over the long haul, the normal science of Chapter 11 reorganization differs from this creditors’ bargain. The bargain is never fixed because creditors regularly attempt to alter the priority rules and often succeed. Priority is in fact up for grabs. Bankruptcy should be reconceptualized as an ongoing rent-seeking contest in which creditors continually seek to break priority — to obtain categorical changes in priority rules in order to jump themselves ahead of competing creditors. Creditors seek to break priority by inventing innovative transactional structures...

Inequality, bankruptcy and the macroeconomy

Rodano, Giacomo
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em /09/2011 Português
Relevância na Pesquisa
27.28%
This thesis examines the determinants inequality and its effects on macroeconomic outcomes, and in particular the economic effects of bankruptcy law. The first two chapters are joint work with Jochen Mankart. In the first chapter, we examine the effects of Chapter 7 of the US bankruptcy law on entrepreneurs. Entrepreneurs are subject to production risk. They can borrow and if they fail they can default on their debt. We examine the optimal wealth exemption level and the optimal credit market exclusion duration in this environment. In the second chapter, we introduce secured credit, in addition to unsecured credit in a model that is similar to the one in the first chapter. Secured credit lowers the cost of a generous bankruptcy regime because agents who are rationed out of the unsecured credit market can still obtain secured credit. Therefore, the optimal exemption level is very high. In the third chapter, I estimate stochastic process for earnings of Italian individuals. I find that individual’s earnings present statistically significant heterogeneity both in levels and in growth rates that is determined before the beginning of economic activity. In the fourth chapter, I analyze the quantitative effects of introducing immediate debt discharge (fresh start) in the procedures of personal bankruptcy law on the saving and default decisions of Italian household. I find that introducing fresh start in the Italian bankruptcy law would worsen credit conditions...