Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction (eBook, PDF)

Redaktion: Jones, Stewart

• Format: PDF

Produktbeschreibung

The field of credit risk and corporate bankruptcy prediction has gained considerable momentum following the collapse of many large corporations around the world, and more recently through the sub-prime scandal in the United States. This book provides a thorough compendium of the different modelling approaches available in the field, including several new techniques that extend the horizons of future research and practice. Topics covered include probit models (in particular bivariate probit modelling), advanced logistic regression models (in particular mixed logit, nested logit and latent class models), survival analysis models, non-parametric techniques (particularly neural networks and recursive partitioning models), structural models and reduced form (intensity) modelling. Models and techniques are illustrated with empirical examples and are accompanied by a careful explanation of model derivation issues. This practical and empirically-based approach makes the book an ideal resource for all those concerned with credit risk and corporate bankruptcy, including academics, practitioners and regulators.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 25. September 2008
• Englisch
• ISBN-13: 9780511426827
• Artikelnr.: 38211724

Inhaltsangabe

List of figures; List of tables; List of contributors; Introduction Stewart
Jones and David A. Hensher; 1. A statistical model for credit scoring
William H. Greene; 2. Mixed Logit and error component models of corporate
insolvency and bankruptcy risk Stewart Jones and David A. Hensher; 3. An
evaluation of open and closed form distress prediction models: the nested
Logit and latent class models Stewart Jones and David A. Hensher; 4.
Survival analysis and omitted dividends Marc J. Leclere; 5. Non-parametric
methods for credit risk analysis: neural networks and recursive
partitioning techniques Maurice Peat; 6. Bankruptcy prediction and
structural credit risk models Andreas Charitou, Neophytos Lambertides and
Lenos Trigeorgis; 7. Default recovery rates and LGD in credit risk modeling
and practice: an updated review of the literature and empirical evidence
Edward I. Altman; 8. Credit derivatives: current practices and
controversies Stewart Jones and Maurice Peat; 9. Local government distress
in Australia: a latent class regression analysis Stewart Jones and Robert
G. Walker; 10. A belief-function perspective to credit risk assessments
Rajendra P. Srivastava and Stewart Jones; Index.