Measuring corporate default risk
Darrell Duffie
| Year of publication: |
2011 ; 1. publ.
|
|---|---|
| Authors: | Duffie, Darrell |
| Publisher: |
Oxford [u.a.] : Oxford Univ. Press |
| Subject: | Kreditrisiko | Credit risk | Schätzung | Estimation | Korrelation | Correlation | Theorie | Theory | Investitionsrisiko | Ausfallrisiko |
| Description of contents: | Table of Contents [gbv.de] ; Description [loc.gov] ; Description [loc.gov] |
| Extent: | VIII, 109 S. graph. Darst. |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Literaturverz. S. [101] - 105 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. |
| ISBN: | 978-0-19-927923-4 |
| Classification: | Investition, Finanzierung ; Wahrscheinlichkeitsrechnung |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009236171