Measuring Corporate Default Risk

ISBN: 9780199279234 出版年：2011 页码：122 Duffie, Darrell Oxford University Press

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