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Measuring Corporate Default Risk

Darrell Duffie

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199279234
eISBN:
9780191728419
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199279234.001.0001
Subject:
Economics and Finance, Financial Economics

This book addresses the empirical estimation of corporate default risk. The book addresses the measurement of corporate default risk based on the empirical estimation of default intensity processes, ... More


Defaultable Bonds and Credit Derivatives

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0013
Subject:
Economics and Finance, Financial Economics

For bonds and other financial contracts issued by some firms and countries, there is a non-negligible risk that the issuer will default and the holder of the contract will not receive the promised ... More


Default Correlation

Darrell Duffie

in Measuring Corporate Default Risk

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199279234
eISBN:
9780191728419
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199279234.003.0005
Subject:
Economics and Finance, Financial Economics

This chapter provides a battery of tests of the ability of the model estimated in Chapter 4 to capture default correlation. Several of these tests are based on a time re-scaling by which defaults ... More


Empirical Evidence of Frailty

Darrell Duffie

in Measuring Corporate Default Risk

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199279234
eISBN:
9780191728419
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199279234.003.0007
Subject:
Economics and Finance, Financial Economics

This chapter provides strong evidence of missing common or correlated default risk factors, some of which may not even have been contemporaneously available. Based on this idea, it provides estimates ... More


Objectives and Scope

Darrell Duffie

in Measuring Corporate Default Risk

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199279234
eISBN:
9780191728419
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199279234.003.0001
Subject:
Economics and Finance, Financial Economics

This chapter summarizes the scope and objectives of the book, and provides an historical background on the development of the related research corporate default risk literature.


Frailty‐Induced Correlation *

Darrell Duffie

in Measuring Corporate Default Risk

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199279234
eISBN:
9780191728419
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199279234.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter presents the foundations for frailty modeling of correlated default in a setting of stochastic intensities. The approach is to assume that default times are jointly doubly stochastic ... More


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