Measuring corporate default risk
By: Darrell Duffie
Publisher: Oxford University Press
Published: 2011
Place of publication: Oxford; New York
Language: eng
Number of pages: 109
ISBN-13: 9780199279234
Subjects: Statistical methods; Corporate debt; Debt financing (Corporations); Risk; Default (Finance)
Notes: Includes bibliographical references (p. [101]-105) and index.
Table of contents: title: Objectives and scope; title: Survival modeling; title: How to estimate default intensity processes; title: The default intensities of public corporations; title: Default correlation; title: Frailty-induced correlation; title: Empirical evidence of frailty; title: Time-series parameter estimates; title: Residual Gaussian copula correlation; title: Additional tests for mis-specified intensities; title: Applying the Gibbs sampler with frailty; title: Testing for frailty; title: Unobserved heterogeneity; title: Non-linearity check; title: Bayesian frailty dynamics; title: Risk-neutral default probabilities.