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Default risk.

Topaloglu, Zeynep.

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Default risk.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Default risk./
Author:	Topaloglu, Zeynep.
Description:	75 p.
Notes:	Source: Dissertation Abstracts International, Volume: 71-09, Section: A, page: 3365.
Contained By:	Dissertation Abstracts International71-09A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3412965
ISBN:	9781124126289

Default risk.
Topaloglu, Zeynep.

Default risk. - 75 p.

Source: Dissertation Abstracts International, Volume: 71-09, Section: A, page: 3365.

Thesis (Ph.D.)--City University of New York, 2010.

The hazard rate models used in the recent bankruptcy literature assume the censoring and the default are two independent events, which means the censored company will eventually default. However we believe there will be a portion in the censored group that will be long-term survivors and we propose a mixture model of survivors and risky companies. Moreover this dissertation models the event and the timing of default incident at the same time. For the event of default and the timing of default we utilize a logistic regression. The results have justified the advantage of our model over the standard hazard rate models and proved its predictive power. The companies identified as high default risk by our model proved to deliver extremely low returns in the market.

ISBN: 9781124126289Subjects--Topical Terms:

626650
Economics, Finance.

Default risk.
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020 $a 9781124126289
035 $a (UMI)AAI3412965
035 $a AAI3412965
040 $a UMI $c UMI
100 1 $a Topaloglu, Zeynep. $3 1674128
245 1 0 $a Default risk.
300 $a 75 p.
500 $a Source: Dissertation Abstracts International, Volume: 71-09, Section: A, page: 3365.
500 $a Advisers: Thom Thurston; Yildiray Yildirim.
502 $a Thesis (Ph.D.)--City University of New York, 2010.
520 $a The hazard rate models used in the recent bankruptcy literature assume the censoring and the default are two independent events, which means the censored company will eventually default. However we believe there will be a portion in the censored group that will be long-term survivors and we propose a mixture model of survivors and risky companies. Moreover this dissertation models the event and the timing of default incident at the same time. For the event of default and the timing of default we utilize a logistic regression. The results have justified the advantage of our model over the standard hazard rate models and proved its predictive power. The companies identified as high default risk by our model proved to deliver extremely low returns in the market.
590 $a School code: 0046.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
690 $a 0508
690 $a 0770
710 2 $a City University of New York. $b Economics. $3 1022246
773 0 $t Dissertation Abstracts International $g 71-09A.
790 1 0 $a Thurston, Thom, $e advisor
790 1 0 $a Yildirim, Yildiray, $e advisor
790 1 0 $a Grossman, Michael $e committee member
790 1 0 $a Ozbilgin, Mehmet $e committee member
790 $a 0046
791 $a Ph.D.
792 $a 2010
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3412965