Artículos relacionados a An Empirical Evaluation of Structural Credit-Risk Models

An Empirical Evaluation of Structural Credit-Risk Models - Tapa blanda

Tarashev, Nikola A.

 
9781249560289: An Empirical Evaluation of Structural Credit-Risk Models
Tapa blanda
ISBN 10: 1249560284 ISBN 13: 9781249560289
Editorial: BiblioGov, 2012

Sinopsis

This paper evaluates the capacity of five structural credit risk models to forecast default rates. In contrast to previous studies with similar objectives, the paper employs firm-level data and finds that model-based forecasts of default rates tend to be unbiased and to deliver point-in-time errors that are small in both statistical and economic terms. In addition, in- and out-of-sample regression analysis reveals that the models account for a significant portion of the variability of credit risk over time but fail to fully reflect its dependence on macroeconomic cycles.

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Reseña del editor

This paper evaluates the capacity of five structural credit risk models to forecast default rates. In contrast to previous studies with similar objectives, the paper employs firm-level data and finds that model-based forecasts of default rates tend to be unbiased and to deliver point-in-time errors that are small in both statistical and economic terms. In addition, in- and out-of-sample regression analysis reveals that the models account for a significant portion of the variability of credit risk over time but fail to fully reflect its dependence on macroeconomic cycles.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
BiblioGov
Año de publicación
2012
Idioma
Inglés
ISBN 10 
1249560284
ISBN 13 
9781249560289
Encuadernación
Tapa blanda
Número de páginas
56
Contacto del fabricante
no disponible
Persona responsable
no disponible