Search Results - subject:"Discrete duration model"

Incorporating the dynamics of leverage into default prediction

Löffler, Gunter; Maurer, Alina - 2009

discrete duration model. Out-of-sample analysis of default events two to five years ahead reveals that the discriminating power …

Persistent link: https://www.econbiz.de/10010263767

Incorporating the Dynamics of Leverage into Default Prediction

Löffler, Gunter; Maurer, Alina - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

discrete duration model. Out-of-sample analysis of default events two to five years ahead reveals that the discriminating power … of default risk drivers. The analysis is done with a discrete duration model. Out-of-sample analysis of default events …-reverting leverage ratios. Section 7 concludes. 2. Methodology We begin with an overview on the discrete duration model. This is followed …

Persistent link: https://www.econbiz.de/10004991084

A simple root-N-consistent semiparametric estimator for discrete duration models

Reza, Sadat; Rilstone, Paul - In: Statistics & Probability Letters 95 (2014) C, pp. 150-154

Incorrect specification of the hazard rate in duration analysis can produce inconsistent estimators of the parameters of the model. We propose a new estimator for discrete duration models in which the hazard rate is comprised of an inner index function of the covariates and time variable and an...

Persistent link: https://www.econbiz.de/10011040004

Incorporating the dynamics of leverage into default prediction

Löffler, Gunter; Maurer, Alina - In: Journal of Banking & Finance 35 (2011) 12, pp. 3351-3361

A firm’s current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to a target leverage, we forecast future leverage ratios and include them...

Persistent link: https://www.econbiz.de/10011065623