| #2188518 in eBooks | 2011-06-23 | 2011-06-23 | File type: PDF|||Darrel Duffie provides a lucid account of default risk modeling using dynamic intensity models and survival analysis. He covers both the case where the explanatory variables (covariates) are fully observed, and where they are unobserved, dynamic 'frailty' effe
This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations over r...
You easily download any file type for your gadget.Measuring Corporate Default Risk (Clarendon Lectures in Finance) | Darrell Duffie. I was recommended this book by a dear friend of mine.
