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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


How to Estimate Default Intensity Processes

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/9780199279234.003.0003
Subject:
Economics and Finance, Financial Economics

This chapter presents the theory underlying the maximum likelihood estimation of term structures of survival probabilities, for example the dependence of default probability on time horizon. The ... More


China's Remarkable Economic Growth

John Knight and Sai Ding

Published in print:
2012
Published Online:
May 2012
ISBN:
9780199698691
eISBN:
9780191739118
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199698691.001.0001
Subject:
Economics and Finance, South and East Asia, Financial Economics

How has the Chinese economy managed to grow at such a remarkable rate — no less than ten per cent per annum — for over three decades? This book combines economic theory, empirical estimation, and ... 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.


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


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


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


The Default Intensities of Public Corporations

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/9780199279234.003.0004
Subject:
Economics and Finance, Financial Economics

This chapter presents estimates of a dynamic model of the term structures of conditional default probabilities of North American non-financial corporations between 1970 and 2004. The results show the ... More


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