Default prediction with dynamic sectoral and macroeconomic frailties

Journal of Banking and Finance

Volumn 40, Issue 1, 2014, Pages 211-226

  Chen, Peimin ^a   Wu, Chunchi ^b  

^a SOUTHWESTERN UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^b UNIVERSITY AT BUFFALO   (United States)

Author keywords

Default risk; Distance to default; Frailty; Gibbs sampler; Hazard rate function; Monte Carlo expectations maximization (EM); Tail loss

Indexed keywords

EID: 84891424250     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2013.11.036     Document Type: Article

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