This 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 over roughly the past decade with Sanjiv Das, Andreas Eckner, ...
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This 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 over roughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where possible, the content based on methodology has been separated from the substantive empirical findings, in order to provide access to the latter for those less focused on the mathematical foundations. A key finding is that corporate defaults are more clustered in time than would be suggested by their exposure to observable common or correlated risk factors. The methodology allows for hidden sources of default correlation, which are particularly important to include when estimating the likelihood that a portfolio of corporate loans will suffer large default losses. The data also reveal that a substantial amount of power for predicting the default of a corporation can be obtained from the firm's "distance to default," a volatility-adjusted measure of leverage that is the basis of the theoretical models of corporate debt pricing of Black, Scholes, and Merton. The findings are particularly relevant in the aftermath of the financial crisis, which revealed a lack of attention to the proper modelling of correlation of default risk across firms.
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Add this copy of Measuring Corporate Default Risk to cart. $29.38, new condition, Sold by Ingram Customer Returns Center rated 5.0 out of 5 stars, ships from NV, USA, published 2022 by Oxford University Press.
Add this copy of Measuring Corporate Default Risk (Clarendon Lectures in to cart. $30.12, good condition, Sold by Anybook rated 4.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2011 by Oup Oxford.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. In good all round condition. Dust jacket in good condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 450grams, ISBN: 9780199279234.
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Add this copy of Measuring Corporate Default Risk (Clarendon Lectures in to cart. $51.00, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Hialeah, FL, UNITED STATES, published 2022 by Oxford University Press.
Add this copy of Measuring Corporate Default Risk to cart. $79.35, new condition, Sold by Media Smart rated 4.0 out of 5 stars, ships from Hawthorne, CA, UNITED STATES, published 2011 by Oxford University Press OUP.
