Measuring corporate default risk /
| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Oxford ; New York :
Oxford University Press,
2011
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| Subjects: |
Table of Contents:
- 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