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Multi-period corporate failure prediction with stochastic covariates

Author: Darrell Duffie; Ke Wang; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2004.
Series: Working paper series (National Bureau of Economic Research), no. 10743.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on over 28,000 firm-quarters of data spanning 1971 to 2001, of significant dependence of the level and shape of the term  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Darrell Duffie; Ke Wang; National Bureau of Economic Research.
OCLC Number: 57027879
Notes: "September 2004."
Description: 1 online resource (44 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 10743.
Responsibility: Darrell Duffie, Ke Wang.

Abstract:

"We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on over 28,000 firm-quarters of data spanning 1971 to 2001, of significant dependence of the level and shape of the term structure of conditional future bankruptcy probabilities on a firm's distance to default (a volatility-adjusted measure of leverage) and on U.S. personal income growth, among other covariates. Variation in a firm's distance to default has a greater relative effect on the term structure of future failure hazard rates than does a comparatively sized change in U.S. personal income growth, especially at dates more than a year into the future"--National Bureau of Economic Research web site.

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