Gu, Jia-Wen; Jiang, Bo; Ching, Wai-Ki; Zheng, Harry - arXiv.org - 2013
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by Guo et al.(2008) shows that the time difference between...