Multiperiod corporate default prediction -- a forward intensity approach
type: Item
instance of: scholarly article
title: Multiperiod corporate default prediction -- a forward intensity approach
zbMATH Open document ID: 1443.62346
author: Jin-Chuan Duan
author: Jie Sun
author: Tao Wang
published in: Journal of Econometrics
publication date: 2017-05-12T00:00:00Z
full work available at URL: S0304407612001145
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G50
zbMATH DE Number: 6714753
zbMATH Keywords: default
zbMATH Keywords: bankruptcy
zbMATH Keywords: forward intensity
zbMATH Keywords: maximum pseudo-likelihood
zbMATH Keywords: forward default probability
zbMATH Keywords: cumulative default probability
zbMATH Keywords: accuracy ratio
MaRDI profile type: Publication
OpenAlex ID: W3125637821
cites work: Bankruptcy Prediction with Industry Effects
cites work: MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
cites work: Term Structures of Credit Spreads with Incomplete Accounting Information
cites work: The multi-state latent factor intensity model for credit rating transitions
DOI: 10.1016/J.JECONOM.2012.05.002
description: scientific article; zbMATH DE number 6714753