Multiperiod corporate default prediction - A forward intensity approach

Journal of Econometrics

Volumn 170, Issue 1, 2012, Pages 191-209

  Duan, Jin Chuan ^a   Sun, Jie ^b   Wang, Tao ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b Oversea Chinese Banking Corporation Limited   (Singapore)

Author keywords

Accuracy ratio; Bankruptcy; Cumulative default probability; Default; Forward default probability; Forward intensity; Maximum pseudo likelihood

Indexed keywords

ACCURACY RATIO; BANKRUPTCY; DEFAULT; DEFAULT PROBABILITIES; FORWARD INTENSITY; PSEUDO-LIKELIHOOD;

INDUSTRY;

FORECASTING;

EID: 84863988308     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.05.002     Document Type: Article

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