Media type: Book Title: Measuring corporate default risk Contains: Objectives and scope -- Survival modeling -- How to estimate default intensity processes -- The default intensities of public corporations -- Default correlation -- Frailty-induced correlation -- Empirical evidence of frailty -- Time-series parameter estimates -- Residual Gaussian copula correlation -- Additional tests for mis-specified intensities -- Applying the Gibbs sampler with frailty -- Testing for frailty -- Unobserved heterogeneity -- Non-linearity check -- Bayesian frailty dynamics -- Risk-neutral default probabilities. Contributor: Duffie, Darrell [Author] imprint: Oxford [u.a.]: Oxford Univ. Press, 2011 Published in: Clarendon lectures in finance Issue: 1. publ. Extent: VIII, 109 S.; graph. Darst Language: English ISBN: 9780199279234 RVK notation: QP 720 : Investition, Investitionsplanung. Investitionsrechnung Keywords: Investitionsrisiko > Ausfallrisiko Origination: Footnote: Literaturverz. S. [101] - 105
Departmental Library DrePunct – stack Shelf-mark: R2017 8 5829 Item ID: 34457006 Status: Loanable, place order > Ordering possible ‒ please log in Delivery expected: 1 - 2 days after order