Predicting bankruptcy using the discrete-time semiparametric hazard model

DOI10.1080/14697680902814274MaRDI QIDQ2994845zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Bankruptcy prediction using terminal failure processes
• Bankruptcy prediction by generalized additive models
• A comparison of Bayesian, hazard, and mixed logit model of bankruptcy prediction
• A class of discrete transformation survival models with application to default probability prediction
• Bankruptcy Prediction with Industry Effects

Cites work

• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• Bootstrap confidence bands for regression curves and their derivatives
• Bootstrapping local polynomial estimators in likelihood-based models
• Exact mean integrated squared error
• Local Likelihood Estimation
• Local Polynomial Kernel Regression for Generalized Linear Models and Quasi-Likelihood Functions
• The Kernel Estimate of a Regression Function in Likelihood-Based Models
• Using Bayesian networks for bankruptcy prediction: some methodological issues

Cited in

(14)

• Bayesian analysis of duration models: An application to Chapter 11 bankruptcy
• Forecasting forward defaults: a simple hazard model with competing risks
• Nonparametric Quantile Regression‐Based Classifiers for Bankruptcy Forecasting
• Modelling the duration of firms in Chapter 11 bankruptcy using a flexible model
• Application of the Poisson process model for the early detection of enterprises' bankruptcy
• A comparison of Bayesian, hazard, and mixed logit model of bankruptcy prediction
• Bankruptcy prediction by generalized additive models
• Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity
• Early discovery of individual firm insolvency
• scientific article; zbMATH DE number 5572924 (Why is no real title available?)
• Forecasting forward defaults with the discrete-time hazard model
• Bankruptcy prediction using terminal failure processes
• scientific article; zbMATH DE number 5590577 (Why is no real title available?)
• A class of discrete transformation survival models with application to default probability prediction

This page was built for publication: Predicting bankruptcy using the discrete-time semiparametric hazard model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2994845)