Articles liés à An Empirical Evaluation of Structural Credit-Risk Models

An Empirical Evaluation of Structural Credit-Risk Models - Couverture souple

Tarashev, Nikola A

 
9781249560289: An Empirical Evaluation of Structural Credit-Risk Models
Couverture souple
ISBN 10 : 1249560284 ISBN 13 : 9781249560289
Editeur : Bibliogov, 2012

Synopsis

This paper evaluates the capacity of five structural credit risk models to forecast default rates. In contrast to previous studies with similar objectives, the paper employs firm-level data and finds that model-based forecasts of default rates tend to be unbiased and to deliver point-in-time errors that are small in both statistical and economic terms. In addition, in- and out-of-sample regression analysis reveals that the models account for a significant portion of the variability of credit risk over time but fail to fully reflect its dependence on macroeconomic cycles.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Bibliogov
Date d'édition
2012
Langue
anglais
ISBN 10 
1249560284
ISBN 13 
9781249560289
Reliure
Broché
Nombre de pages
56
Coordonnées du fabricant
non disponible
Personne responsable
non disponible