Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria
AbstractA Bayesian method for estimation of a hazard term structure is presented in a functional data analysis framework. The hazard terms structure is designed to include the effects of changes in economic conditions, as well as trends in stock prices and accounting variables from financial statements. The hazard function contains time-varying parameters that are modelled using splines. To estimate the model parameters, a Markov-chain Monte Carlo sampling algorithm is developed. The Bayesian predictive information criterion is employed to assess the default predictive power of the estimated model. The method is then applied to a Japanese firm's default data listed on the Japanese Stock Exchange. The results demonstrate that the proposed method performs well.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 53 (2009)
Issue (Month): 6 (April)
Contact details of provider:
Web page: http://www.elsevier.com/locate/csda
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Darrell Duffie & Leandro Siata & Ke Wang, 2006.
"Multi-Period Corporate Default Prediction With Stochastic Covariates,"
NBER Working Papers
11962, National Bureau of Economic Research, Inc.
- Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007. "Multi-period corporate default prediction with stochastic covariates," Journal of Financial Economics, Elsevier, Elsevier, vol. 83(3), pages 635-665, March.
- Darrel Duffie & Leandro Saita & Ke Wang, 2005. "Multi-Period Corporate Default Prediction With Stochastic Covariates," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-047, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Darrel Duffie & Leandro Saita & Ke Wang, 2005. "Multi-Period Corporate Default Prediction With Stochastic Covariates," CIRJE F-Series CIRJE-F-373, CIRJE, Faculty of Economics, University of Tokyo.
- Audretsch, David B & Mahmood, Talat, 1995. "New Firm Survival: New Results Using a Hazard Function," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 97-103, February.
- Tomohiro Ando, 2007. "Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models," Biometrika, Biometrika Trust, Biometrika Trust, vol. 94(2), pages 443-458.
- Meyer, Bruce D, 1990.
"Unemployment Insurance and Unemployment Spells,"
Econometrica, Econometric Society,
Econometric Society, vol. 58(4), pages 757-82, July.
- Michele Campolieti, 2001. "Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(1), pages 1-22.
- Mata, Jose & Portugal, Pedro, 1994. "Life Duration of New Firms," Journal of Industrial Economics, Wiley Blackwell, vol. 42(3), pages 227-45, September.
- Yongheng Deng, .
"Mortgage Termination: An Empirical Hazard Model with Stochastic Term Structure,"
_002, University of California at Berkeley, Econometrics Laboratory Software Archive.
- Deng, Yongheng, 1997. "Mortgage Termination: An Empirical Hazard Model with a Stochastic Term Structure," The Journal of Real Estate Finance and Economics, Springer, vol. 14(3), pages 309-31, May.
- Gary Whalen, 1991. "A proportional hazards model of bank failure: an examination of its usefulness as an early warning tool," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 21-31.
- Edmister, Robert O., 1972. "An Empirical Test of Financial Ratio Analysis for Small Business Failure Prediction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(02), pages 1477-1493, March.
- Blochlinger, Andreas & Leippold, Markus, 2006. "Economic benefit of powerful credit scoring," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 851-873, March.
- Li, Kai, 1999. "Bayesian analysis of duration models: an application to Chapter 11 bankruptcy," Economics Letters, Elsevier, vol. 63(3), pages 305-312, June.
- Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
- Sadanori Konishi, 2004. "Bayesian information criteria and smoothing parameter selection in radial basis function networks," Biometrika, Biometrika Trust, Biometrika Trust, vol. 91(1), pages 27-43, March.
- Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-24, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.