Holdings: Multi-period credit default prediction

Multi-period credit default prediction: a survival analysis approach

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Bibliographic Details
Main Author:	Orth, Walter (Author)
Format:	Thesis Book
Language:	English
Published:	Aachen Shaker 2012
Series:	Berichte aus der Statistik
Subjects:	Ausfallrisiko Ereignisdatenanalyse Ausfallwahrscheinlichkeit Mehr-Perioden-Modell Kreditgeschäft Hochschulschrift
Online Access:	Inhaltsverzeichnis
Physical Description:	IV, 141 S. graph. Darst. 21 cm, 221 g
ISBN:	9783844014518

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MARC


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Record in the Search Index

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adam_text	CONTENTS 1 INTRODUCTION 1 2 MEASURING PREDICTIVE ACCURACY 7 2.1 DISCRIMINATOR} POWER 8 2.1.1 ACCURACY RATIO AND RELATED MEASURES 9 2.1.2 HARRELL S C 14 2.2 CALIBRATION 18 2.2.1 NONPARAMETRIC CALIBRATION ANALYSIS 19 2.2.2 PARAMETRIC CALIBRATION ANALYSIS 23 2.3 VALIDATION TECHNIQUES 25 2.4 STATISTICAL INFERENCE 29 2.4.1 SINGLE-COHORT STATISTICAL INFERENCE 30 2.4.2 MULTIPLE-COHORT STATISTICAL INFERENCE 32 2.5 EMPIRICAL ILLUSTRATION 38 3 DEFAULT PREDICTION WITH TIME-VARYING COVARIATES 45 3.1 APPROACHES WITH COVARIATE FORECASTING MODELS 48 3.2 AN ALTERNATIVE APPROACH 50 3.2.1 THE MODELS 50 3.2.2 ESTIMATION 55 III HTTP://D-NB.INFO/1027197582 IV CONTENTS 3.2.3 EXTENSIONS TO MIXTURE MODELS 61 3.3 EMPIRICAL ANALYSIS 64 3.3.1 DATA DESCRIPTION AND MODEL SPECIFICATION .... 64 3.3.2 ESTIMATION RESULTS 67 3.3.3 EVALUATION OF DISCRIMINATORY POWER 71 3.3.4 CALIBRATION ANALYSIS 77 4 DEFAULT PREDICTION WITH GIVEN RATING GRADES 85 4.1 THE STANDARD ESTIMATOR 88 4.2 CONFIDENCE BOUND APPROACHES 92 4.3 AN EMPIRICAL BAYES APPROACH 95 4.4 APPLICATION TO SOVEREIGN BONDS 101 4.5 SIMULATION STUDY 108 4. A VARIANCE OF THE STANDARD ESTIMATOR 119 4.B CONSISTENCY OF THE EMPIRICAL BAYES ESTIMATOR 122 4.C R CODE FOR THE EMPIRICAL BAYES ESTIMATOR 125 BIBLIOGRAPHY 127
any_adam_object	1
author	Orth, Walter
author_facet	Orth, Walter
author_role	aut
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ctrlnum	(OCoLC)833401686 (DE-599)DNB1027197582
dewey-full	332.7
dewey-hundreds	300 - Social sciences
dewey-ones	332 - Financial economics
dewey-raw	332.7
dewey-search	332.7
dewey-sort	3332.7
dewey-tens	330 - Economics
discipline	Wirtschaftswissenschaften
format	Thesis Book
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isbn	9783844014518
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physical	IV, 141 S. graph. Darst. 21 cm, 221 g
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spelling	Orth, Walter Verfasser aut Multi-period credit default prediction a survival analysis approach Walter Orth Aachen Shaker 2012 IV, 141 S. graph. Darst. 21 cm, 221 g txt rdacontent n rdamedia nc rdacarrier Berichte aus der Statistik Zugl.: Köln, Univ., Diss., 2012 Ausfallrisiko (DE-588)4205942-2 gnd rswk-swf Ereignisdatenanalyse (DE-588)4132103-0 gnd rswk-swf Ausfallwahrscheinlichkeit (DE-588)4122848-0 gnd rswk-swf Mehr-Perioden-Modell (DE-588)4388956-6 gnd rswk-swf Kreditgeschäft (DE-588)4134687-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Ausfallrisiko (DE-588)4205942-2 s Ausfallwahrscheinlichkeit (DE-588)4122848-0 s Ereignisdatenanalyse (DE-588)4132103-0 s Mehr-Perioden-Modell (DE-588)4388956-6 s DE-604 Kreditgeschäft (DE-588)4134687-7 s b DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026227871&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Orth, Walter Multi-period credit default prediction a survival analysis approach Ausfallrisiko (DE-588)4205942-2 gnd Ereignisdatenanalyse (DE-588)4132103-0 gnd Ausfallwahrscheinlichkeit (DE-588)4122848-0 gnd Mehr-Perioden-Modell (DE-588)4388956-6 gnd Kreditgeschäft (DE-588)4134687-7 gnd
subject_GND	(DE-588)4205942-2 (DE-588)4132103-0 (DE-588)4122848-0 (DE-588)4388956-6 (DE-588)4134687-7 (DE-588)4113937-9
title	Multi-period credit default prediction a survival analysis approach
title_auth	Multi-period credit default prediction a survival analysis approach
title_exact_search	Multi-period credit default prediction a survival analysis approach
title_full	Multi-period credit default prediction a survival analysis approach Walter Orth
title_fullStr	Multi-period credit default prediction a survival analysis approach Walter Orth
title_full_unstemmed	Multi-period credit default prediction a survival analysis approach Walter Orth
title_short	Multi-period credit default prediction
title_sort	multi period credit default prediction a survival analysis approach
title_sub	a survival analysis approach
topic	Ausfallrisiko (DE-588)4205942-2 gnd Ereignisdatenanalyse (DE-588)4132103-0 gnd Ausfallwahrscheinlichkeit (DE-588)4122848-0 gnd Mehr-Perioden-Modell (DE-588)4388956-6 gnd Kreditgeschäft (DE-588)4134687-7 gnd
topic_facet	Ausfallrisiko Ereignisdatenanalyse Ausfallwahrscheinlichkeit Mehr-Perioden-Modell Kreditgeschäft Hochschulschrift
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026227871&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT orthwalter multiperiodcreditdefaultpredictionasurvivalanalysisapproach

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