This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Multi-period corporate default prediction with stochastic covariates Author info | Abstract | Publisher info | Download info | Related research | Statistics Duffie, Darrell
Saita, Leandro
Wang, Ke
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Article provided by Elsevier in its journal Journal of Financial Economics .
Volume (Year): 83 (2007)
Issue (Month): 3 (March)
Pages: 635-665
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:eee:jfinec:v:83:y:2007:i:3:p:635-665Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576
For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).
Keywords: Cited by : (explanations , 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.)
Rösch, Daniel & Scheule, Harald, 2009.
"The Empirical Relation between Credit Quality, Recovery and Correlation ,"
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover
dp-418, Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
[Downloadable!]
Piergiorgio Alessandri & Mathias Drehmann, 2009.
"An economic capital model integrating credit and interest rate risk in the banking book ,"
Working Paper Series
1041, European Central Bank.
[Downloadable!]
Gunter Löffler & Alina Maurer, 2009.
"Incorporating the Dynamics of Leverage into Default Prediction ,"
SFB 649 Discussion Papers
SFB649DP2009-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Xin Huang & Hao Zhou & Haibin Zhu, 2009.
"A Framework for Assessing the Systemic Risk of Major Financial Institutions ,"
BIS Working Papers
281, Bank for International Settlements.
[Downloadable!]
Gabriel Jiménez & Steven Ongena & José Luis Peydró & Jesús Saurina, 2009.
"Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking? ,"
Banco de España Working Papers
0833, Banco de España.
[Downloadable!]
Nikola A. Tarashev, 2008.
"An Empirical Evaluation of Structural Credit-Risk Models ,"
International Journal of Central Banking ,
International Journal of Central Banking, vol. 4(1), pages 1-53, March.
[Downloadable!]
Tang, Dragon Yongjun & Yan, Hong, 2008.
"Market conditions, default risk and credit spreads ,"
Discussion Paper Series 2: Banking and Financial Studies
2008,08, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Giulio Bottazzi & Marco Grazzi & Angelo Secchi & Federico Tamagni, 2009.
"Financial and Economic Determinants of Firm Default ,"
LEM Papers Series
2009/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
[Downloadable!]
Zhu, Haibin & Tarashev, Nikola A., 2008.
"The pricing of correlated default risk: evidence from the credit derivatives market ,"
Discussion Paper Series 2: Banking and Financial Studies
2008,09, Deutsche Bundesbank, Research Centre.
[Downloadable!]
Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008.
"Forecasting Cross-Sections of Frailty-Correlated Default ,"
Tinbergen Institute Discussion Papers
08-029/4, Tinbergen Institute.
[Downloadable!]
Kwamie Dunbar & Albert J. Edwards, 2007.
"Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect ,"
Working papers
2007-10, University of Connecticut, Department of Economics.
[Downloadable!]
Zhang, Zhipeng, 2009.
"Recovery Rates and Macroeconomic Conditions: The Role of Loan Covenants ,"
MPRA Paper
17521, University Library of Munich, Germany.
[Downloadable!]
Daniel Rosch & Harald Scheule, 2009.
"The Empirical Relation between Credit Quality, Recovery, and Correlation ,"
Working Papers
222009, Hong Kong Institute for Monetary Research.
[Downloadable!]
Robert Jarrow, 2007.
"A Critique of Revised Basel II ,"
Journal of Financial Services Research ,
Springer, vol. 32(1), pages 1-16, October.
[Downloadable!] (restricted)
Sanjiv Das, 2007.
"Basel II: Correlation Related Issues ,"
Journal of Financial Services Research ,
Springer, vol. 32(1), pages 17-38, October.
[Downloadable!] (restricted)
Jiménez, Gabriel & Ongena, Steven & Peydró-Alcalde, José Luis & Saurina, Jesús, 2007.
"Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk? ,"
CEPR Discussion Papers
6514, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Access and
download statistics Did you know? There are over 21000 authors registered on RePEc Author Service .
This page was last updated on 2009-11-7.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .