Measuring corporate default risk / Darrell Duffie.
Material type: TextPublication details: Oxford ; New York : Oxford University Press, 2011.Description: 109 p. : illISBN:- 9780199279234
- 0199279233
- HG 4028.D3 D8
Item type | Current library | Call number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|
General circulation | SEHSS - Library General Stacks | [EHS] HG 4028 .D3D8 (Browse shelf(Opens below)) | Available | 2018/020523 |
Includes bibliographical references (p. [101]-105) and index.
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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