Verwandte Artikel zu An Empirical Evaluation of Structural Credit-Risk Models

An Empirical Evaluation of Structural Credit-Risk Models - Softcover

Tarashev, Nikola A

 
9781249560289: An Empirical Evaluation of Structural Credit-Risk Models
Softcover
ISBN 10: 1249560284 ISBN 13: 9781249560289
Verlag: Bibliogov, 2012

Inhaltsangabe

This paper evaluates the capacity of five structural credit risk models to forecast default rates. In contrast to previous studies with similar objectives, the paper employs firm-level data and finds that model-based forecasts of default rates tend to be unbiased and to deliver point-in-time errors that are small in both statistical and economic terms. In addition, in- and out-of-sample regression analysis reveals that the models account for a significant portion of the variability of credit risk over time but fail to fully reflect its dependence on macroeconomic cycles.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Bibliogov
Erscheinungsdatum
2012
Sprache
Englisch
ISBN 10 
1249560284
ISBN 13 
9781249560289
Einband
Taschenbuch
Anzahl der Seiten
56
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Nicht verfügbar