Jump to ContentJump to Main Navigation
Measuring Corporate Default Risk$
Users without a subscription are not able to see the full content.

Darrell Duffie

Print publication date: 2011

Print ISBN-13: 9780199279234

Published to Oxford Scholarship Online: September 2011

DOI: 10.1093/acprof:oso/9780199279234.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see www.oxfordscholarship.com/page/privacy-policy).date: 18 July 2019

How to Estimate Default Intensity Processes

How to Estimate Default Intensity Processes

Chapter:
(p.17) 3 How to Estimate Default Intensity Processes
Source:
Measuring Corporate Default Risk
Author(s):

Darrell Duffie

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199279234.003.0003

This chapter presents the theory underlying the maximum likelihood estimation of term structures of survival probabilities, for example the dependence of default probability on time horizon. The methodology allows the events of concern to be censored by disappearance of corporations from the data, due for instance to merger or acquisition. The idea is to estimate the parameter vector determining the default intensity as well as the parameter vector determining the transition probabilities of the covariate process, and then to use the maximum likelihood estimator of these parameters to estimate the survival probabilities of the corporations, for a range of choices of the survival horizon. The results show that the joint estimation of the parameters is relatively tractable under the doubly-stochastic property.

Keywords:   maximum likelihood estimation, corporation, default, risk, empirical estimation, default intensity, survival, bankruptcy

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .