کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096413 | 1376526 | 2012 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multiperiod corporate default prediction-A forward intensity approach
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
A forward intensity model for the prediction of corporate defaults over different future periods is proposed. Maximum pseudo-likelihood analysis is then conducted on a large sample of the US industrial and financial firms spanning the period 1991-2011 on a monthly basis. Several commonly used factors and firm-specific attributes are shown to be useful for prediction at both short and long horizons. Our implementation also factors in momentum in some variables and documents their importance in default prediction. The model's prediction is very accurate for shorter horizons. Its accuracy deteriorates somewhat when the horizon is increased to two or three years, but the performance still remains reasonable. The forward intensity model is also amenable to aggregation, which allows for an analysis of default behavior at the portfolio and/or economy level.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 170, Issue 1, September 2012, Pages 191-209
Journal: Journal of Econometrics - Volume 170, Issue 1, September 2012, Pages 191-209
نویسندگان
Jin-Chuan Duan, Jie Sun, Tao Wang,