Objectives and scope -- Survival modeling -- How to estimate default intensity processes -- The default intensities of public corporations -- Default correlation -- Frailty-induced correlation -- Empirical evidence of frailty -- Time-series parameter estimates -- Residual Gaussian copula correlation -- Additional tests for mis-specified intensities -- Applying the Gibbs sampler with frailty -- Testing for frailty -- Unobserved heterogeneity -- Non-linearity check -- Bayesian frailty dynamics -- Risk-neutral default probabilities
Summary
This examination of the empirical behaviour of corporate default risk provides a unified statistical methodology for default prediction based on stochastic intensity modelling. The findings are particularly relevant in the aftermath of the financial crisis
Bibliography
Includes bibliographical references (pages 101-105) and index
