Measuring corporate default risk:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford
Oxford Univ. Pr.
2011
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 109 S. |
| ISBN: | 9780199279234 |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804143930962345984 |
|---|---|
| adam_text | Contents
Acknowledgements
ix
List of Figures
x
List of Tables
xi
1
Objectives and Scope
1
1.1
Approach
j
1.2
Statistical Foundation Chapters
3
J.3 Scope of Empirical Chapters
4
1.4
Historical Research Developments
5
2
Survival Modeling
9
2.1
Stochastic Intensity
9
2.2
Doubly-Stochastic Event Timing JO
2.3
Censoring
12
2.4
Hazard Rate
13
2.5
Time Rescaling for
Poisson
Defaults
14
3
How to Estimate Default Intensity Processes
17
3.1
lhe
Maximum Likelihood Approach
17
3.2
Data Structure and Censoring
19
3.3
Calculation of the Likelihood
20
3.4
Term Structures of Default Probabilities
22
3.5
The Distribution of Estimators
23
4
The Default Intensities of Public Corporations
25
4.1
Data
25
4.2
Covariate Time-Series Specification
29
4.3
Default Intensity Estimates
30
4.4
Term Structures of Default Probabilities
32
5
Default Correlation
35
5.1
Sources of Default Correlation
35
5.2
Rescaling Time for
Poisson
Defaults
37
5.3
Goodness-of-Fit Tests
39
5.3.1
Fishers Dispersion Test
42
53.2
Upper Tail Tests
42
5.3.3
Prahľs
Test of Clustered Defaults
43
5.4
Discussion
46
viii Contents
6
Frailty-Induced Correlation
49
6.1
The Frailty Model
50
6.2
Parameter Estimation
54
7
Empirical Evidence of Frailty
59
7.1
The Fitted Frailty Model
60
7.2
Filtering the Frailty Process
61
7.3
Term-Structure of Default Risk
64
7.4
Default Correlation
65
7.5
Portfolio Loss Risk
66
7.6
Out-of-Sample Accuracy
68
7.7
Concluding Remarks
72
A Time-Series Parameter Estimates
75
8
Residual Gaussian Copula Correlation
77
С
Additional Tests for Mis-Specified Intensities
80
C.I Testing for Independent Increments
80
C.2 Missing
Macroeconomic Covariates
81
D
Applying the Gibbs Sampler with Frailty
85
E
Testing for Frailty
89
F
Unobserved Heterogeneity
90
G
Non-Linearity Check
93
H Bayesian
Frailty Dynamics
95
I Risk-Neutral Default Probabilities
98
Bibliography
101
Index
107
|
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| id | DE-604.BV037295044 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T22:55:30Z |
| institution | BVB |
| isbn | 9780199279234 |
| language | English |
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| physical | VIII, 109 S. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Oxford Univ. Pr. |
| record_format | marc |
| spelling | Duffie, Darrell 1954- Verfasser (DE-588)128596120 aut Measuring corporate default risk Darrell Duffie 1. publ. Oxford Oxford Univ. Pr. 2011 VIII, 109 S. txt rdacontent n rdamedia nc rdacarrier Investitionsrisiko (DE-588)4475258-1 gnd rswk-swf Ausfallrisiko (DE-588)4205942-2 gnd rswk-swf Investitionsrisiko (DE-588)4475258-1 s Ausfallrisiko (DE-588)4205942-2 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021207540&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Duffie, Darrell 1954- Measuring corporate default risk Investitionsrisiko (DE-588)4475258-1 gnd Ausfallrisiko (DE-588)4205942-2 gnd |
| subject_GND | (DE-588)4475258-1 (DE-588)4205942-2 |
| title | Measuring corporate default risk |
| title_auth | Measuring corporate default risk |
| title_exact_search | Measuring corporate default risk |
| title_full | Measuring corporate default risk Darrell Duffie |
| title_fullStr | Measuring corporate default risk Darrell Duffie |
| title_full_unstemmed | Measuring corporate default risk Darrell Duffie |
| title_short | Measuring corporate default risk |
| title_sort | measuring corporate default risk |
| topic | Investitionsrisiko (DE-588)4475258-1 gnd Ausfallrisiko (DE-588)4205942-2 gnd |
| topic_facet | Investitionsrisiko Ausfallrisiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021207540&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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