Multiperiod corporate default prediction -- a forward intensity approach

DOI10.1016/j.jeconom.2012.05.002zbMath1443.62346OpenAlexW3125637821MaRDI QIDQ528035

Jin-Chuan Duan, Jie Sun, Tao Wang

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001145

zbMATH Keywords

defaultbankruptcyaccuracy ratiocumulative default probabilityforward default probabilityforward intensitymaximum pseudo-likelihood

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (11)

MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS ⋮ Company rating with support vector machines ⋮ Rating frailty, Bayesian updates, and portfolio credit risk analysis* ⋮ Evaluation of credit value adjustment in K-forward ⋮ Distributional Properties of the Mixture of Continuous-Time Absorbing Markov Chains Moving at Different Speeds ⋮ Disentangling and assessing uncertainties in multiperiod corporate default risk predictions ⋮ Benchmarking forecast approaches for mortgage credit risk for forward periods ⋮ Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator ⋮ Forecasting forward defaults: a simple hazard model with competing risks ⋮ PD-Implied Ratings via Referencing a Credit Rating/Scoring Pool’s Default Experience ⋮ Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities

Cites Work

• The multi-state latent factor intensity model for credit rating transitions
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Bankruptcy Prediction with Industry Effects

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