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December 28, 2011 | History

Measuring corporate default risk 1 edition

Measuring corporate default risk
Darrell Duffie

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Measuring corporate default risk
Darrell Duffie

Published 2011 by Oxford University Press in Oxford, New York .
Written in English.

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.

Classifications

Dewey Decimal Class
332.74015195
Library of Congress
HG4028.D3 D84 2011

The Physical Object

Pagination
viii, 109 p. :
Number of pages
109

ID Numbers

Open Library
OL25135323M
ISBN 10
0199279233
ISBN 13
9780199279234
LC Control Number
2011929393
OCLC/WorldCat
706025016

History Created December 28, 2011 · 1 revision Download catalog record: RDF / JSON

December 28, 2011 Created by LC Bot import new book