Multiperiod corporate default prediction -- a forward intensity approach

DOI10.1016/J.JECONOM.2012.05.002zbMATH Open1443.62346OpenAlexW3125637821MaRDI QIDQ528035FDOQ528035

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

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zbMATH Keywords

defaultbankruptcyaccuracy ratiocumulative default probabilityforward 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)

Cites Work

• 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
• Bankruptcy Prediction with Industry Effects

Cited In (17)

• Forecasting forward defaults with the discrete-time hazard model
• Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
• Modeling lifetime expected credit losses on bank loans
• Company rating with support vector machines
• 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
• Title not available (Why is that?)
• 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
• Two-sample test for high-dimensional covariance matrices: a normal-reference approach
• Modeling frailty-correlated defaults using many macroeconomic covariates
• Evaluation of credit value adjustment in K-forward
• Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
• Benchmarking forecast approaches for mortgage credit risk for forward periods
• PD-implied ratings via referencing a credit rating/scoring Pool's default experience
• Credit risk: simple closed-form approximate maximum likelihood estimator
• Rating frailty, Bayesian updates, and portfolio credit risk analysis*

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