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Multi-period corporate default prediction with stochastic covariates

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Author Info
Duffie, Darrell
Saita, Leandro
Wang, Ke
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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 83 (2007)
Issue (Month): 3 (March)
Pages: 635-665
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Handle: RePEc:eee:jfinec:v:83:y:2007:i:3:p:635-665

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. 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!]
  2. 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!]
  3. 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!]
  4. 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!]
  5. 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!]
  6. 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!]
  7. 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!]
  8. 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!]
  9. 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!]
  10. 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!]
  11. 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!]
  12. Zhang, Zhipeng, 2009. "Recovery Rates and Macroeconomic Conditions: The Role of Loan Covenants," MPRA Paper 17521, University Library of Munich, Germany. [Downloadable!]
  13. Daniel Rosch & Harald Scheule, 2009. "The Empirical Relation between Credit Quality, Recovery, and Correlation," Working Papers 222009, Hong Kong Institute for Monetary Research. [Downloadable!]
  14. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer, vol. 32(1), pages 1-16, October. [Downloadable!] (restricted)
  15. Sanjiv Das, 2007. "Basel II: Correlation Related Issues," Journal of Financial Services Research, Springer, vol. 32(1), pages 17-38, October. [Downloadable!] (restricted)
  16. 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)
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