Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty

DOI10.1080/14697688.2024.2363863MaRDI QIDQ6592291zbMATH OpenFDO

Authors Ruey-Ching Hwang, Yi-Chi Chen

Publication date 26 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2024.2363863

Mathematics Subject Classification ID

Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

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Cited in

(1)

• Machine learning for corporate default risk: multi-period prediction, frailty correlation, loan portfolios, and tail probabilities

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