Assessing the default risk by means of a discrete‐time survival analysis approach

Daniele De Leonardis and Roberto Rocci

Applied Stochastic Models in Business and Industry, 2008, vol. 24, issue 4, 291-306

Abstract: In this paper, the problem of company distress is assessed by means of a multi‐period model that exploits the potentialities of the survival analysis approach when both survival times and regressors are measured at discrete points in time. The discrete‐time hazards model can be used both as an empirical framework in the analysis of the causes of the deterioration process that leads to the default and as a tool for the prediction of the same event. Our results show that the prediction accuracy of the duration model is better than that provided by a single‐period logistic model. It is also shown that the predictive power of the discrete‐time survival analysis is enhanced when it is extended to allow for unobserved individual heterogeneity (frailty). Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1002/asmb.705

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:24:y:2008:i:4:p:291-306

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().