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Multi-Period Corporate Default Prediction with Stochastic Covariates · Study

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PreprintMulti-Period Corporate Default Prediction with Stochastic Covariates

Darrell Duffie2006

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Preprintgreen2006

Multi-Period Corporate Default Prediction with Stochastic Covariates

Darrell Duffie · Leandro Saita · Ke Wang

51 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 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model 2004Default Risk in Equity Returns

Cited by

2006Macroeconomic Conditions, Firm Characteristics, and Credit Spreads 2007Macro Factors in the Term Structure of Credit Spreads 2013Measuring the Financial Soundness of U.S. Firms, 1926-2012 2006Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions 2020Bidders Recommender for Public Procurement Auctions Using Machine Learning: Data Analysis, Algorithm, and Case Study with Tenders from Spain

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations51

Files0 public / 0

ShelfFinancial Distress and Bankruptcy Prediction

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doi10.2139/ssrn.903784

openalex_workW4243222823

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2010

On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches

2017Reorganization or Liquidation: Bankruptcy Choice and Firm Dynamics