#2213566 in eBooks 2011-06-23 2011-06-23File Name: B00A7LNJGE
Darrel Duffie provides a lucid account of default risk modeling using dynamic intensity models and survival analysis. He covers both the case where the explanatory variables (covariates) are fully observed, and where they are unobserved, dynamic 'frailty' effects. The book will sharpen your modeliThis book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations overroughly the past decade with Sa... [PDF.ef00] Measuring Corporate Default Risk (Clarendon Lectures in Finance) Rating: 4.99 (653 Votes)
You can specify the type of files you want, for your gadget.Measuring Corporate Default Risk (Clarendon Lectures in Finance) | Darrell Duffie. I really enjoyed this book and have already told so many people about it!
