Measuring corporate default risk [electronic resource] /
by Duffie, Darrell.
Material type:
BookPublisher: Oxford : Oxford University Press, 2011Description: 1 online resource (viii, 109 p.) : ill.ISBN: 9780191728419 (ebook) :.Subject(s): Corporate debt -- Statistical methods | Corporate debt -- Mathematical models | Risk -- Statistical methods | Risk -- Mathematical models | Default (Finance) -- Statistical methods | Default (Finance) -- Mathematical modelsOnline resources: Oxford scholarship online Summary: This examination of the empirical behaviour of corporate default risk provides a unified statistical methodology for default prediction based on stochastic intensity modelling. The findings are particularly relevant in the aftermath of the financial crisis.
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This examination of the empirical behaviour of corporate default risk provides a unified statistical methodology for default prediction based on stochastic intensity modelling. The findings are particularly relevant in the aftermath of the financial crisis.
Description based on print version record.
Includes bibliographical references and index.
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