An edition of Measuring corporate default risk
(2011)
Measuring corporate default risk
by Darrell Duffie
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Book Details
Published in
Oxford, New York
Table of Contents
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.
Edition Notes
Includes bibliographical references (p. [101]-105) and index.
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| July 30, 2023 | Edited by ImportBot | import existing book |
| August 2, 2020 | Edited by ImportBot | import existing book |
| December 28, 2011 | Created by LC Bot | import new book |