Forecasting forward defaults with the discrete-time hazard model

DOI10.1002/FOR.2278MaRDI QIDQ4687493zbMATH OpenOpenAlexFDO

Authors Ruey-Ching Hwang, Chih-Kang Chu

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2278

zbMATH Keywords

credit riskdefault lossesexpanding rolling windowhazard modelpredicted survival time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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• Assessing the default risk by means of a discrete-time survival analysis approach
• A class of discrete transformation survival models with application to default probability prediction
• Default forecast with auxiliary information using a logarithmic transformation model
• Forecasting forward defaults: a simple hazard model with competing risks
• Multiperiod corporate default prediction -- a forward intensity approach
• Forecasting credit ratings with the varying-coefficient model
• Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty

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