A forward default prediction method based on the discrete-time competing risk hazard model (DCRHM) is proposed. The proposed model is developed from the discrete-time hazard model (DHM) by replacing the binary response data in DHM with the multinomial response data, and thus allowing the firms...

The dynamic ordered probit model (DOPM) with autocorrelation structure is proposed as a model for credit risk forecasting. It is more appropriate than the DOPM with independence structure, because correlations among repeated credit ratings have been observed by Altman and Kao [<italic>J. Financ. Anal</italic>.,...

The dynamic ordered varying-coefficient probit model (DOVPM) is proposed as a model for studying credit ratings. It is constructed by replacing the constant coefficients of firm-specific predictors in the dynamic ordered probit model (DOPM) of Blume, Lim and MacKinlay (1998) with the smooth...

The usual bankruptcy prediction models are based on single-period data from firms. These models ignore the fact that the characteristics of firms change through time, and thus they may suffer from a loss of predictive power. In recent years, a discrete-time parametric hazard model has been...