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Note that Altman Z-Scoring model is calibrated on a sample many years ago. Therefore, a discrimination with these specific values for the coefficients is quite arbitrary. In that situation I think there are 2 options Option 1: Use the Altman's calibrated Z-Score as an indicator Suppose that you have a sample of $N$ private companies, where $D$ of them have ...

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Yes, you can. Also, do not use Altman's Z. The extreme scores are predictive, but a load of empirical research shows the intermediate values are not predictive. The best solution is a Bayesian solution because you are gambling money. Bayesian methods are coherent. Coherence is the statistical property by which fair gambles can be placed. Frequentist ...

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Similar to above, I’ve wargamed this one in the past and come to the the simple conclusion that the currency and local equity return are informative about the probability of default. Defaults are not typically informative about currency risk, because the currency typically jumps (on the USDCCY basis in EM) in the “crisis”, well before any default actually ...

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I have actually looked into this a lot and I don't have a full answer. You can (sort of) see what the market participants think by looking at the consensus "quanto factors" published monthly by IHS Markit Totem. They even have some term structure, although usually it's the same factor for all tenors. For some sovereigns, people sometimes trade a CDS ...

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