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Multi-Period Corporate Failure Prediction with Stochastic Covariates · Study

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PreprintMulti-Period Corporate Failure Prediction with Stochastic Covariates

Darrell Duffie2005

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Preprintgreen2005

Multi-Period Corporate Failure Prediction with Stochastic Covariates

Darrell Duffie · Ke Wang

164 citations·0/0 files stored·SSRN Electronic Journal

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Financial Distress and Bankruptcy Prediction Corporate Insolvency and Governance Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1980Financial Ratios and the Probabilistic Prediction of Bankruptcy 1966Financial Ratios As Predictors of Failure 2005Stochastic Integration and Differential Equations 1993Dynamic Asset Pricing Theory.2000Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited by

2010Corporate Bond Default Risk: A 150-Year Perspective 2005Credit risk modeling with affine processes 2006Correlated Default Risk 2008Credit cycles and macro fundamentals 2007The Levered Equity Risk Premium and Credit Spreads: A Unified Framework 2003Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

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2004Multi-Period Corporate Failure Prediction with Stochastic Covariatesreport · 27 shared references 2006Multi-Period Corporate Default Prediction with Stochastic Covariatespreprint · 23 shared references 2011Measuring Corporate Default Riskbook · 16 shared references 2009Frailty Correlated Defaultarticle · 13 shared references 2008Frailty Correlated Defaultpreprint · 13 shared references 2007Corporate financial distress an empirical analysis of distress riskthesis · 12 shared references

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Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations164

Files0 public / 0

ShelfFinancial Distress and Bankruptcy Prediction

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doi10.2139/ssrn.647862

openalex_workW2125036751

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2008

Frailty Correlated Default

2008The Aggregate Dynamics of Capital Structure and Macroeconomic Risk