Statistical Inference on the Default Probability in the Credit Risk Models

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• 作者：Yong ZHOU ; Shangyu XIE ; Yuan YUAN
• 关键词：credit risk ; censored data ; hazard (intensity) function ; Cox model ; Logist model ; varying-coefficient Cox model
• 刊名：Systems Engineering - Theory Practice
• 出版年：2008
• 出版时间：August 2008
• 年：2008
• 卷：28
• 期：8
• 页码：206-214
• 全文大小：240 K

文摘

Reduced form model is one of the most popular models for studying credit risks. The key parameter in these models is the default probability. Under the assumption that default is exogenous, it is quite easy to compute the default probability through a statistical model. In this article, we argue that the widely used hazard rate models in the biostatistics literature could be a better alternative model for studying default risk. The hazard rate models can account for multiple risk factors and for dynamic and interaction effects as well.