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Measuring corporate default risk

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Bibliographic Details
Main Authors: Duffie Darrell.
Published: Oxford University Press,
Publisher Address: Oxford New York
Publication Dates: 2011.
Literature type: Book
Language: English
Subjects:
Corporate debt > United States > Statistical methods.
Debt financing (Corporations) > United States > Statistical methods.
Default (Finance) > United States > Statistical methods.
Risk > Statistical methods.
Carrier Form: viii, 109 p.: ill. ; 24 cm.
ISBN: 9780199279234 (hbk.)
0199279233
Index Number: F817
CLC: F817.126
Call Number: F817.126 /D857
Contents: Includes bibliographical references (p. [101]-105) and index.
Objectives and scope -- Survival modeling -- How to estimate default intensity processes -- The default intensities of public corporations -- Default correlation -- Frailty-induced correlation -- Empirical evidence of frailty -- Time-series parameter estimates -- Residual Gaussian copula correlation -- Additional tests for mis-specified intensities -- Applying the Gibbs sampler with frailty -- Testing for frailty -- Unobserved heterogeneity -- Non-linearity check -- Bayesian frailty dynamics -- Risk-neutral default probabilities.

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