Advances in credit risk modelling and corporate bankruptcy prediction / edited by Stewart Jones and David A. Hensher.

Format:

Book

Contributor:

Jones, Stewart, 1964- editor.

Hensher, David A., 1947- editor.

Series:

Quantitative methods for applied economics and business research.

Quantitative methods for applied economics and business research

Language:

English

Subjects (All):

Credit--Management.

Credit.

Risk management.

Bankruptcy--Forecasting.

Bankruptcy.

Physical Description:

1 online resource (x, 298 pages) : digital, PDF file(s).

Other Title:

Advances in Credit Risk Modelling & Corporate Bankruptcy Prediction

Place of Publication:

Cambridge : Cambridge University Press, 2008.

Language Note:

English

Summary:

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.

Contents:

Cover; Half-title; Title; Copyright; Contents; Figures; Tables; Contributors; Advances in the modelling of credit risk and corporate bankruptcy: Introduction; 1 A statistical model for credit scoring; 2 Mixed logit and error component models of corporate insolvency and bankruptcy risk; 3 An evaluation of open- and closed-form distress prediction models: The nested logit and latent class models; 4 Survival analysis and omitted dividends; 5 Non-parametric methods for credit risk analysis: Neural networks and recursive partitioning techniques

6 Bankruptcy prediction and structural credit risk models7 Default recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidence; 8 Credit derivatives: Current practices and controversies; 9 Local government distress in Australia: A latent class regression analysis; 10 A belief-function perspective to credit risk assessments; Index

Notes:

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

Includes bibliographical references and index.

ISBN:

1-107-19744-9

1-281-79141-5

9786611791414

0-511-42951-7

0-511-42839-1

0-511-42989-4

0-511-42771-9

0-511-75419-1

0-511-42910-X

OCLC:

437222494