Multiperiod corporate default prediction -- a forward intensity approach

DOI10.1016/J.JECONOM.2012.05.002MaRDI QIDQ528035zbMATH OpenOpenAlexFDO

Authors Jin-Chuan Duan, Jie Sun, Tao Wang

Publication date 12 May 2017

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

Full work available at URL http://www.sciencedirect.com/science/article/pii/S0304407612001145

zbMATH Keywords

accuracy ratiobankruptcycumulative default probabilitydefaultforward default probabilityforward intensitymaximum pseudo-likelihood

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• Bankruptcy Prediction with Industry Effects
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The multi-state latent factor intensity model for credit rating transitions

Cited in

(20)

• Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
• Benchmarking forecast approaches for mortgage credit risk for forward periods
• Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
• Company rating with support vector machines
• Evaluation of credit value adjustment in K-forward
• Forecasting forward defaults with the discrete-time hazard model
• scientific article; zbMATH DE number 2101245 (Why is no real title available?)
• Credit risk: simple closed-form approximate maximum likelihood estimator
• PD-implied ratings via referencing a credit rating/scoring Pool's default experience
• Modeling lifetime expected credit losses on bank loans
• Rating frailty, Bayesian updates, and portfolio credit risk analysis*
• Distributional properties of the mixture of continuous-time absorbing Markov chains moving at different speeds
• Forecasting forward defaults: a simple hazard model with competing risks
• Correlated defaults, temporal correlation, expert information and predictability of default rates
• Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty
• Two-sample test for high-dimensional covariance matrices: a normal-reference approach
• Remaining Useful Life Prediction Based on Forward Intensity
• The general linear hypothesis testing problem for multivariate functional data with applications
• GLHT for High-Dimensional Covariance Matrices: A Normal-Reference Approach
• Modeling frailty-correlated defaults using many macroeconomic covariates

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