Internet Appendix to “ Frailty Correlated Default

نویسنده

  • Leandro Saita
چکیده

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 on out-of-sample predictive accuracy. Finally, Section IV provides the specification and parameter estimates of the time-series model for covariates.

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تاریخ انتشار 2010