{"title":"Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty","authors":"Ruey-Ching Hwang, Yi-Chi Chen","doi":"10.1080/14697688.2024.2363863","DOIUrl":null,"url":null,"abstract":"Predicting the corporate default probability accurately is the core of credit risk management. There has been a relatively small amount of the literature on predicting a firm’s forward default risk...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"24 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2024-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2024.2363863","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Predicting the corporate default probability accurately is the core of credit risk management. There has been a relatively small amount of the literature on predicting a firm’s forward default risk...
期刊介绍：
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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