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20171111230456.0 |
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130415s2011 enka b 001 0 eng d |
| 020 |
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|a 9780199279234
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| 082 |
0 |
4 |
|2 23
|a 332.74015195
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| 100 |
1 |
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|a Duffie, Darrell
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| 245 |
1 |
0 |
|a Measuring corporate default risk /
|c Darrell Duffie
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| 260 |
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|a Oxford ;
|b Oxford University Press,
|c 2011
|a New York :
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| 300 |
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|a viii, 109 p. :
|b ill. ;
|c 24 cm
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| 504 |
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|a Includes bibliographical references (p. [101]-105) and index
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| 505 |
0 |
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|a Objectives and scope -- Survival modeling -- How to estimate default intensity processes -- The default intensities of public corporations -- Default correlation -- Frailty-induced correlation -- Empirical evidence of frailty -- Time-series parameter estimates -- Residual Gaussian copula correlation -- Additional tests for mis-specified intensities -- Applying the Gibbs sampler with frailty -- Testing for frailty -- Unobserved heterogeneity -- Non-linearity check -- Bayesian frailty dynamics -- Risk-neutral default probabilities
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| 650 |
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0 |
|a Corporate debt
|x Statistical methods
|z United States
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| 650 |
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0 |
|a Debt financing (Corporations)
|x Statistical methods
|z United States
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| 650 |
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0 |
|a Default (Finance)
|x Statistical methods
|z United States
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| 650 |
|
0 |
|a Risk
|x Statistical methods
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| 952 |
|
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|a GR-ThIHU
|b 59cc1f676c5ad13446f8576a
|c 998a
|d 945l
|e 332.74015195 DUF
|t 1
|x m
|z Books
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