Based on the author's Clarendon Lectures in Finance, this book develops and implements statistical methods for modelling corporate credit risk. INDICE: 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
- ISBN: 978-0-19-927923-4
- Editorial: Oxford University
- Encuadernacion: Cartoné
- Páginas: 176
- Fecha Publicación: 01/06/2011
- Nº Volúmenes: 1
- Idioma: Inglés