Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-06-18 DOI:10.1080/14697688.2024.2363863

Ruey-Ching Hwang, Yi-Chi Chen

引用次数: 0

Abstract

Predicting the corporate default probability accurately is the core of credit risk management. There has been a relatively small amount of the literature on predicting a firm’s forward default risk...

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预测企业的远期违约概率：具有企业脆弱性的离散时间远期危险模型

准确预测企业违约概率是信用风险管理的核心。关于预测企业远期违约风险的文献相对较少...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.