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Default risk.

Topaloglu, Zeynep.

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Default risk.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Default risk./
作者:	Topaloglu, Zeynep.
面頁冊數:	75 p.
附註:	Source: Dissertation Abstracts International, Volume: 71-09, Section: A, page: 3365.
Contained By:	Dissertation Abstracts International71-09A.
標題:	Economics, Finance. -
電子資源:	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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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.
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