Predicting forward default probabilities of firms : a discrete-time forward hazard model with firm-specific frailty
Ruey-Ching Hwang and Yi-Chi Chen
| Year of publication: |
2024
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|---|---|
| Authors: | Hwang, Ruey-Ching ; Chen, Yi-Chi |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 7, p. 909-919
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| Subject: | Discrete-time forward hazard model | Expanding rolling window approach | Firm-specific frailty | Forward default probability | Maximum marginal likelihood | Number of defaults | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Prognoseverfahren | Forecasting model | Kreditrisiko | Credit risk | Insolvenz | Insolvency |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2024.2363863 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015050805