Predicting bankruptcy using the discrete-time semiparametric hazard model

DOI10.1080/14697680902814274zbMATH Open1210.91149OpenAlexW2150164326MaRDI QIDQ2994845FDOQ2994845

Authors:

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902814274

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zbMATH Keywords

panel datasemiparametric modellocal likelihooddiscrete-time hazard modelout-of-sample error rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

Cites Work

• Exact mean integrated squared error
• Title not available (Why is that?)
• Local Polynomial Kernel Regression for Generalized Linear Models and Quasi-Likelihood Functions
• Bootstrapping local polynomial estimators in likelihood-based models
• Local Likelihood Estimation
• Bootstrap confidence bands for regression curves and their derivatives
• The Kernel Estimate of a Regression Function in Likelihood-Based Models
• Using Bayesian networks for bankruptcy prediction: some methodological issues

Cited In (14)

• Forecasting forward defaults with the discrete-time hazard model
• A class of discrete transformation survival models with application to default probability prediction
• Bayesian analysis of duration models: An application to Chapter 11 bankruptcy
• Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity
• Title not available (Why is that?)
• Modelling the duration of firms in Chapter 11 bankruptcy using a flexible model
• Early discovery of individual firm insolvency
• Bankruptcy prediction using terminal failure processes
• Nonparametric Quantile Regression‐Based Classifiers for Bankruptcy Forecasting
• Title not available (Why is that?)
• Forecasting forward defaults: a simple hazard model with competing risks
• A comparison of Bayesian, hazard, and mixed logit model of bankruptcy prediction
• Application of the Poisson process model for the early detection of enterprises' bankruptcy
• Bankruptcy prediction by generalized additive models

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