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Measuring corporate default risk

Author: Darrell Duffie
Publisher: Oxford : Oxford University Press, 2011
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Based on the author's Clarendon Lectures in Finance, this book develops and implements statistical methods for modelling corporate credit risk.

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Document Type: Book
All Authors / Contributors: Darrell Duffie
ISBN: 9780199279234 0199279233
OCLC Number: 769763912
Description: viii, 109 p. : illustrations
Contents: 1. Objectives and Scope ; 2. Survival Modeling ; 3. How to Estimate Default Intensity Processes ; 4. The Default Intensities of Public Corporations ; 5. Default Correlation ; 6. Frailty-Induced Correlation ; 7. Empirical Evidence of Frailty ; A. Time-Series Parameter Estimates ; B. Residual Gaussian Copula Correlation ; C. Additional Tests for Mis-Specified Intensities ; D. Applying the Gibbs Sampler with Frailty ; E. Testing for Frailty ; F. Unobserved Heterogeneity ; G. Non-Linearity Check ; H. Bayesian Frailty Dynamics ; I. Risk-Neutral Default Probabilities
Responsibility: Darrell Duffie

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Darrel Duffie provides a lucid account of default risk modeling using dynamic intensity models and survival analysis. He covers both the case where the explanatory variables (covariates) are fully Read more...

 
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<http:\/\/experiment.worldcat.org\/entity\/work\/data\/815097000#Topic\/fallitrisiko<\/a>> # fallitrisiko<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"fallitrisiko<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/815097000#Topic\/kreditvurdering<\/a>> # kreditvurdering<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"kreditvurdering<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/815097000#Topic\/matematisk_finansiering<\/a>> # matematisk finansiering<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"matematisk finansiering<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/experiment.worldcat.org\/entity\/work\/data\/815097000#Topic\/risikostyring<\/a>> # risikostyring<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"risikostyring<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
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<http:\/\/id.loc.gov\/authorities\/subjects\/sh2008110813<\/a>> # Risk--Mathematical models<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Risk--Mathematical models<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.loc.gov\/vocabulary\/countries\/enk<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:Place<\/a> ;\u00A0\u00A0\u00A0\ndcterms:identifier<\/a> \"enk<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.worldcat.org\/fast\/1098126<\/a>> # Risk--Mathematical models<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Risk--Mathematical models<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
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Content-negotiable representations<\/p>\n