Measuring corporate default risk / Darrell Duffie.
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TextPublication details: Oxford ; New York : Oxford University Press, 2011. ISBN: 9780199279234; 0199279233Subject(s): Corporate debt -- United States -- Statistical methods | Debt financing (Corporations) -- United States -- Statistical methods | Default (Finance) -- United States -- Statistical methods | Risk -- Statistical methodsDDC classification: - Online resources: Click here to access online | Click here to access online | Click here to access online | Click here to access online | Click here to access online Oxford scholarship online Economics and Finance
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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