Measuring corporate default risk
Duffie, Darrell.
Measuring corporate default risk [electronic resource] / Darrell Duffie. - Oxford : Oxford University Press, 2011. - 1 online resource (viii, 109 p.) : ill.
Includes bibliographical references and index.
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.
9780191728419 (ebook) : No price
Corporate debt--Statistical methods.
Corporate debt--Mathematical models.
Risk--Statistical methods.
Risk--Mathematical models.
Default (Finance)--Statistical methods.
Default (Finance)--Mathematical models.
HG4012
332.74015195
Measuring corporate default risk [electronic resource] / Darrell Duffie. - Oxford : Oxford University Press, 2011. - 1 online resource (viii, 109 p.) : ill.
Includes bibliographical references and index.
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.
9780191728419 (ebook) : No price
Corporate debt--Statistical methods.
Corporate debt--Mathematical models.
Risk--Statistical methods.
Risk--Mathematical models.
Default (Finance)--Statistical methods.
Default (Finance)--Mathematical models.
HG4012
332.74015195