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Author Duffie, Darrell
Title Measuring corporate default risk / Darrell Duffie
Imprint Oxford ; New York : Oxford University Press, 2011
book jacket
LOCATION CALL # STATUS OPACMSG BARCODE
 RCHSS Library  HG4028.D3 D84 2011    AVAILABLE    30560400611460
Descript viii, 109 p. : ill. ; 24 cm
Note Includes bibliographical references (p. [101]-105) and index
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
Subject Corporate debt -- United States -- Statistical methods
Debt financing (Corporations) -- United States -- Statistical methods
Default (Finance) -- United States -- Statistical methods
Risk -- Statistical methods
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