Measuring Corporate Default Risk

by Darrell Duffie

Book Overview

This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations...

• Format: Paperback
• Language: English
• ISBN: 0199279241
• ISBN13: 9780199279241
• Release Date: December 2022
• Publisher: Oxford University Press
• Length: 128 Pages
• Weight: 0.45 lbs.
• Dimensions: 0.5" x 6.4" x 8.8"