In this paper, the problem of company distress is assessed by means of a multi-period model that exploits the potentialities of the survival analysis approach when both survival times and regressors are measured at discrete points in time. The discrete-time hazards model can be used both as an empirical framework in the analysis of the causes of the deterioration process that leads to the default and as a tool for the prediction of the same event. Our results show that the prediction accuracy of the duration model is better than that provided by a single-period logistic model. It is also shown that the predictive power of the discrete-time survival analysis is enhanced when it is extended to allow for unobserved individual heterogeneity (frailty). Copyright 2008 John Wiley & Sons, Ltd.
Assessing the default risk by means of a discrete-time survival analysis approach / DE LEONARDIS, D; Rocci, R. - In: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY. - ISSN 1524-1904. - (2008). [10.1002/asmb.705]
Assessing the default risk by means of a discrete-time survival analysis approach
ROCCI R
2008
Abstract
In this paper, the problem of company distress is assessed by means of a multi-period model that exploits the potentialities of the survival analysis approach when both survival times and regressors are measured at discrete points in time. The discrete-time hazards model can be used both as an empirical framework in the analysis of the causes of the deterioration process that leads to the default and as a tool for the prediction of the same event. Our results show that the prediction accuracy of the duration model is better than that provided by a single-period logistic model. It is also shown that the predictive power of the discrete-time survival analysis is enhanced when it is extended to allow for unobserved individual heterogeneity (frailty). Copyright 2008 John Wiley & Sons, Ltd.File | Dimensione | Formato | |
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