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Measuring corporate default risk [electronic resource] / Darrell Duffie.

By: Material type: TextTextPublication details: Oxford : Oxford University Press, 2011.Description: 1 online resource (viii, 109 p.) : illISBN:
  • 9780191728419 (ebook) :
Subject(s): Additional physical formats: Print version: No titleDDC classification:
  • 332.74015195 23
LOC classification:
  • HG4012
Online resources: Summary: 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.
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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.

Description based on print version record.

Includes bibliographical references and index.

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