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

DOI10.1080/07350015.2022.2120484MaRDI QIDQ6190739zbMATH OpenFDO

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

Publication date 6 March 2024

Published in Journal of Business and 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

asset pricingbankruptcy predictionnonparametricpenalized splinessurvival

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A class of discrete transformation survival models with application to default probability prediction
• A class of partially linear single-index survival models
• Applied logistic regression
• Asymptotic properties of penalized spline estimators in concave extended linear models: rates of convergence
• Bankruptcy Prediction with Industry Effects
• Efficient estimation of semiparametric transformation models for counting processes
• Estimation and testing for partially linear single-index models
• Generalized Partially Linear Single-Index Models
• scientific article; zbMATH DE number 2222301 (Why is no real title available?)
• On a semiparametric survival model with flexible covariate effect
• Penalised spline estimation for generalised partially linear single-index models
• Penalized Spline Estimation for Partially Linear Single-Index Models
• Polynomial Spline Estimation and Inference of Proportional Hazards Regression Models with Flexible Relative Risk Form
• Semiparametric analysis of transformation models with censored data
• Semiparametric Regression

Cited in

(2)

• Bankruptcy prediction with fractional polynomial transformation of financial ratios
• Single-index semiparametric transformation cure models with interval-censored data

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