South Eastern Kenya University

Library Online Public Access Catalogue

Image from Google Jackets

Measuring corporate default risk / Darrell Duffie.

By: Material type: TextTextPublication details: Oxford ; New York : Oxford University Press, 2011.Description: 109 p. : illISBN:
  • 9780199279234
  • 0199279233
Subject(s): LOC classification:
  • HG 4028.D3 D8
Online resources:
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.
Tags from this library: No tags from this library for this title. Log in to add tags.
Star ratings
    Average rating: 0.0 (0 votes)
Holdings
Item type Current library Call number Status Date due Barcode
General circulation 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.

There are no comments on this title.

to post a comment.
Kitui, Kenya.
+254736116989
library@seku.ac.ke