Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction
1st Edition
Published on 1. October 2008
978-0-511-42682-7 (ISBN)
Description
The field of credit risk and corporate bankruptcy prediction has gained considerable momentum following the collapse of many large corporations around the world, and more recently through the sub-prime scandal in the United States. This book provides a thorough compendium of the different modelling approaches available in the field, including several new techniques that extend the horizons of future research and practice. Topics covered include probit models (in particular bivariate probit modelling), advanced logistic regression models (in particular mixed logit, nested logit and latent class models), survival analysis models, non-parametric techniques (particularly neural networks and recursive partitioning models), structural models and reduced form (intensity) modelling. Models and techniques are illustrated with empirical examples and are accompanied by a careful explanation of model derivation issues. This practical and empirically-based approach makes the book an ideal resource for all those concerned with credit risk and corporate bankruptcy, including academics, practitioners and regulators.
Reviews / Votes
'... if you wish to learn more about the nature of the financial instruments that have brought the world to its knees, then this ... is a useful starting point.' The Times Higher Education SupplementMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Publishing group
Cambridge University Press
Target group
Professional and scholarly
Illustrations
39 Tables, unspecified; 18 Line drawings, unspecified
File size
1,50 MB
ISBN-13
978-0-511-42682-7 (9780511426827)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Stewart Jones | David A. Hensher
Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction
Book
09/2008
Cambridge University Press
€130.80
Shipment within 15-20 days
Stewart Jones | David A. Hensher
Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction
Book
09/2008
Cambridge University Press
€59.50
Shipment within 15-20 days
Persons
Stewart Jones is Professor of Accounting at the University of Sydney. He has published extensively in the area of credit risk and corporate bankruptcy, and is co-editor of the leading international accounting and finance journal, Abacus. David Hensher is Professor of Management at the University of Sydney. He is the author of numerous books and articles on discrete choice models, including Stated Choice Methods (Cambridge, 2000) and Applied Choice Analysis (Cambridge, 2005). He teaches discrete choice modelling to academic, business and government audiences, and is also a partner in Econometric Software, the developers of Nlogit and Limdep.
Content
List of figures; List of tables; List of contributors; Introduction Stewart Jones and David A. Hensher; 1. A statistical model for credit scoring William H. Greene; 2. Mixed Logit and error component models of corporate insolvency and bankruptcy risk Stewart Jones and David A. Hensher; 3. An evaluation of open and closed form distress prediction models: the nested Logit and latent class models Stewart Jones and David A. Hensher; 4. Survival analysis and omitted dividends Marc J. Leclere; 5. Non-parametric methods for credit risk analysis: neural networks and recursive partitioning techniques Maurice Peat; 6. Bankruptcy prediction and structural credit risk models Andreas Charitou, Neophytos Lambertides and Lenos Trigeorgis; 7. Default recovery rates and LGD in credit risk modeling and practice: an updated review of the literature and empirical evidence Edward I. Altman; 8. Credit derivatives: current practices and controversies Stewart Jones and Maurice Peat; 9. Local government distress in Australia: a latent class regression analysis Stewart Jones and Robert G. Walker; 10. A belief-function perspective to credit risk assessments Rajendra P. Srivastava and Stewart Jones; Index.
