Corporate Probability of Default: A Single-Index Hazard Model Approach

DOI10.1080/07350015.2022.2120484MaRDI QIDQ6190739

Xiaorui Zhu, Heng Lian, Shaobo Li, Yan Yu, Shaonan Tian

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Corporate_Probability_of_Default_A_Single-Index_Hazard_Model_Approach/21028423

zbMATH Keywords

survivalasset pricingnonparametricpenalized splinesbankruptcy prediction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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• A Class of Discrete Transformation Survival Models With Application to Default Probability Prediction
• Bankruptcy Prediction with Industry Effects
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