TY  - BOOK
AU  - Duffie,Darrell
TI  - Measuring corporate default risk
SN  - 9780199279234
U1  - - 
PY  - 2011///
CY  - Oxford, New York
PB  - Oxford University Press
KW  - Corporate debt
KW  - United States
KW  - Statistical methods
KW  - Debt financing (Corporations)
KW  - Default (Finance)
KW  - Risk
N1  - 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
UR  - http://www.loc.gov/catdir/enhancements/fy1402/2011929393-b.html
UR  - http://www.loc.gov/catdir/enhancements/fy1402/2011929393-d.html
UR  - http://www.loc.gov/catdir/enhancements/fy1402/2011929393-t.html
UR  - http://www.oxfordscholarship.com/view/10.1093/acprof:oso/9780199279234.001.0001/acprof-9780199279234?rskey=WmmASa&result=90
UR  -  http://doi.org/10.1093/acprof:oso/9780199279234.001.0001
ER  -