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Measuring Corporate Default Risk
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Measuring Corporate Default Risk

Darrell Duffie

Abstract

This book addresses the empirical estimation of corporate default risk. The book addresses the measurement of corporate default risk based on the empirical estimation of default intensity processes, and their correlation. The default intensity of a borrower is the mean rate of arrival of default, conditional on the available information. For example, a default intensity of 0.1 means an expected arrival rate of one default per ten years, given all current information. Default intensities change with the arrival of new information about the borrower and its economic environment. The main focus h ... More

Keywords: corporation, default, risk, empirical estimation, default intensity, bankruptcy, default correlation, frailty

Bibliographic Information

Print publication date: 2011 Print ISBN-13: 9780199279234
Published to Oxford Scholarship Online: September 2011 DOI:10.1093/acprof:oso/9780199279234.001.0001

Authors

Affiliations are at time of print publication.

Darrell Duffie, author
Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University
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