Measuring Corporate Default Risk

by Darrell Duffie

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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...

Format:Paperback

Language:English

ISBN:0199279241

ISBN13:9780199279241

Release Date:December 2022

Publisher:Oxford University Press

Length:128 Pages

Weight:0.45 lbs.

Dimensions:0.5" x 6.4" x 8.8"

Related Subjects

Business Business & Investing Economics

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Measuring Corporate Default Risk

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