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Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity · Study

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PreprintMultiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity

Jin‐Chuan Duan2012

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Preprintgreen2012

Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity

Jin‐Chuan Duan · András Fülöp

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

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Financial Distress and Bankruptcy Prediction Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY 1966Financial Ratios As Predictors of Failure 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model 2008In Search of Distress Risk 2008Forecasting Default with the Merton Distance to Default Model 2006Multi-period corporate default prediction with stochastic covariates 2004Bankruptcy Prediction with Industry Effects 2009Frailty Correlated Default

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2015Default Correlations and Large-Portfolio Credit Analysis 2018What's the value of a TBTF guaranty? Evidence from the G-SII designation for insurance companies ✰2014Actuarial Par Spread and Empirical Pricing of CDS by Decomposition

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Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfFinancial Distress and Bankruptcy Prediction

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doi10.2139/ssrn.2151174

openalex_workW2237769465

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