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Measuring Corporate Default Risk (Hardcover) Loot Price: R2,471
Discovery Miles 24 710
Measuring Corporate Default Risk (Hardcover): Darrell Duffie

Measuring Corporate Default Risk (Hardcover)

Darrell Duffie

Series: Clarendon Lectures in Finance

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Loot Price R2,471 Discovery Miles 24 710 | Repayment Terms: R232 pm x 12*

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This book, based on the author's Clarendon Lectures in Finance, examines the empirical behavior 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 over roughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where possible, the content based on methodology has been separated from the substantive empirical findings, in order to provide access to the latter for those less focused on the mathematical foundations.
A key finding is that corporate defaults are more clustered in time than would be suggested by their exposure to observable common or correlated risk factors. The methodology allows for hidden sources of default correlation, which are particularly important to include when estimating the likelihood that a portfolio of corporate loans will suffer large default losses. The data also reveal that a substantial amount of power for predicting the default of a corporation can be obtained from the firm's "distance to default," a volatility-adjusted measure of leverage that is the basis of the theoretical models of corporate debt pricing of Black, Scholes, and Merton. The findings are particularly relevant in the aftermath of the financial crisis, which revealed a lack of attention to the proper modelling of correlation of default risk across firms.

General

Imprint: Oxford UniversityPress
Country of origin: United Kingdom
Series: Clarendon Lectures in Finance
Release date: June 2011
First published: August 2011
Authors: Darrell Duffie
Dimensions: 237 x 159 x 15mm (L x W x T)
Format: Hardcover
Pages: 128
ISBN-13: 978-0-19-927923-4
Categories: Books > Reference & Interdisciplinary > Communication studies > Decision theory > Risk assessment
Books > Business & Economics > Finance & accounting > Finance > Corporate finance
Books > Business & Economics > Business & management > Management of specific areas > Budgeting & financial management
Books > Money & Finance > Corporate finance
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LSN: 0-19-927923-3
Barcode: 9780199279234

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