Forecasting Cross-Sections of Frailty-Correlated Default
نویسندگان
چکیده
منابع مشابه
Internet Appendix to “ Frailty Correlated Default
This document contains results and other material that is supplementary to Duffie, Eckner, Horel, and Saita (2009). Section I extends the basic model to allow for unobserved cross-sectional heterogeneity of default risk. Section II allows for a nonlinear dependence of default intensity on distance to default, through a simple non-parametric specification. Section III provides some information o...
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Copyright © 2006 R ecently, an unusually high number of firms in the economy defaulted, with the default rate for Moody’s-rated speculativegrade issuers reaching as high as 10.2% in 2001. In their annual review, Moody’s summarized these credit events as follows, “Record defaults —unmatched in number and dollar volume since the Great Depression—have culminated in the bankruptcies of well-known f...
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∗We are extremely thankful for many constructive suggestions from Gurdip Bakshi, N. Chidambaran, Darrell Duffie, Rong Fan, Gifford Fong, John Knight, N. R. Prabhala, Jun Pan, Dmitry Pugachevsky, Shuyan Qi, Ken Singleton, Rangarajan Sundaram, Suresh Sundaresan and Haluk Unal. We received useful feedback from participants at various seminars: at the AIMR talks in Tokyo, Singapore and Sydney, the ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1113047