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Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction

$58.00

textbook

Part of Quantitative Methods for Applied Economics and Business Research

Stewart Jones, David A. Hensher, William H. Greene, Marc J. Leclere, Maurice Peat, Andreas Charitou, Neophytos Lambertides, Lenos Trigeorgis, Edward I. Altman, Robert G. Walker, Rajendra P. Srivastava
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  • Date Published: October 2008
  • availability: In stock
  • format: Paperback
  • isbn: 9780521689540

$58.00
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About the Authors
  • 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.

    • Presents a wide range of modelling approaches, giving readers an insight into both traditional and new techniques
    • Covers all the latest developments in the field, including the recent sub-prime collapse
    • Empirical illustrations used to aid comprehension
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    Product details

    • Date Published: October 2008
    • format: Paperback
    • isbn: 9780521689540
    • length: 312 pages
    • dimensions: 246 x 175 x 18 mm
    • weight: 0.62kg
    • contains: 18 b/w illus. 39 tables
    • availability: In stock
  • Table of Contents

    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.

  • Instructors have used or reviewed this title for the following courses

    • Bankruptcy & Corporate Finance
  • Editors

    Stewart Jones, University of Sydney
    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 A. Hensher, University of Sydney
    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.

    Contributors

    Stewart Jones, David A. Hensher, William H. Greene, Marc J. Leclere, Maurice Peat, Andreas Charitou, Neophytos Lambertides, Lenos Trigeorgis, Edward I. Altman, Robert G. Walker, Rajendra P. Srivastava

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