- We will send in 10–14 business days.
/images/books/13189986/9783639512274.jpg)
- Author: Tuohua Wu
- Publisher: Scholars' Press
- ISBN-10: 3639512278
- ISBN-13: 9783639512274
- Format: 15.2 x 22.9 x 0.6 cm, softcover
- Language: English
- SAVE -10% with code: EXTRA
Reviews
Description
This book explores various channels for default clustering. The probability of extreme default losses in U.S. corporate portfolio is much greater than that estimated from model containing only observed macroeconomic variables. The additional sources of default clustering are provided by direct contagion and latent frailty factor. I build a top-down proportional hazard rate model with self-exciting specification. I develop efficient method of moment for parameter estimation and goodness-of-fit tests for the default counting process. My estimates are based on U.S. public firms between 1970 and 2008. I find strong evidence that contagion and frailty are equally important in capturing large portfolio losses. My empirical findings can be used by banks and credit portfolio managers for economic capital calculations and dynamic risk management.
EXTRA 10 % discount with code: EXTRA
The promotion ends in 20d.23:50:50
The discount code is valid when purchasing from 10 €. Discounts do not stack.
- Author: Tuohua Wu
- Publisher: Scholars' Press
- ISBN-10: 3639512278
- ISBN-13: 9783639512274
- Format: 15.2 x 22.9 x 0.6 cm, softcover
- Language: English English
This book explores various channels for default clustering. The probability of extreme default losses in U.S. corporate portfolio is much greater than that estimated from model containing only observed macroeconomic variables. The additional sources of default clustering are provided by direct contagion and latent frailty factor. I build a top-down proportional hazard rate model with self-exciting specification. I develop efficient method of moment for parameter estimation and goodness-of-fit tests for the default counting process. My estimates are based on U.S. public firms between 1970 and 2008. I find strong evidence that contagion and frailty are equally important in capturing large portfolio losses. My empirical findings can be used by banks and credit portfolio managers for economic capital calculations and dynamic risk management.
Reviews