Forecasting forward defaults: a simple hazard model with competing risks

DOI10.1080/14697688.2013.842653zbMath1402.91849OpenAlexW2001041533MaRDI QIDQ5245905

Chih-Kang Chu, Ruey-Ching Hwang

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.842653

zbMATH Keywords

competing risksmultinomial logit modeldiscrete-time hazard modelexpanding rolling window approachforward default predictionpredicted number of forward defaults

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (3)

A regression analysis of discrete time competing risks data using a vertical model approach ⋮ Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods

Cites Work

• Multiperiod corporate default prediction -- a forward intensity approach
• Predicting bankruptcy using the discrete-time semiparametric hazard model
• Marginal likelihoods based on Cox's regression and life model
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