Forecasting forward defaults: a simple hazard model with competing risks

DOI10.1080/14697688.2013.842653MaRDI QIDQ5245905zbMATH OpenOpenAlexFDO

Authors Ruey-Ching Hwang, Chih-Kang Chu

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 risksdiscrete-time hazard modelexpanding rolling window approachforward default predictionmultinomial logit modelpredicted 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)

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Cites work

• scientific article; zbMATH DE number 1292349 (Why is no real title available?)
• scientific article; zbMATH DE number 3795247 (Why is no real title available?)
• Marginal likelihoods based on Cox's regression and life model
• Multiperiod corporate default prediction -- a forward intensity approach
• Predicting bankruptcy using the discrete-time semiparametric hazard model

Cited in

(8)

• Benchmarking forecast approaches for mortgage credit risk for forward periods
• Assessing the default risk by means of a discrete-time survival analysis approach
• Forecasting forward defaults with the discrete-time hazard model
• Default forecast with auxiliary information using a logarithmic transformation model
• A regression analysis of discrete time competing risks data using a vertical model approach
• Multiperiod corporate default prediction -- a forward intensity approach
• Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty
• Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty

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