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NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1

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  • RMI staff article, 2016. "NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 49-132.
    • Handle: RePEc:wsi:gcrxxx:v:06:y:2016:i:01:n:s2010493616500057
    DOI: 10.1142/S2010493616500057
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    2. Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007. "Multi-period corporate default prediction with stochastic covariates," Journal of Financial Economics, Elsevier, vol. 83(3), pages 635-665, March.
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    10. Jin-Chuan Duan, 2014. "Actuarial Par Spread and Empirical Pricing of CDS by Decomposition," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 51-65.
    11. Jin-Chuan Duan & Tao Wang, 2012. "Measuring Distance-to-Default for Financial and Non-Financial Firms," World Scientific Book Chapters, in: Risk Management Institute, Singapore (ed.), Global Credit Review, chapter 6, pages 95-108, World Scientific Publishing Co. Pte. Ltd..
    12. Jin-Chuan Duan, 2014. "Actuarial Par Spread and Empirical Pricing of CDS by Decomposition," World Scientific Book Chapters, in: Risk Management Institute (ed.), GLOBAL CREDIT REVIEW, chapter 3, pages 51-65, World Scientific Publishing Co. Pte. Ltd..
    13. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    14. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
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    16. Jin‐Chuan Duan, 1994. "Maximum Likelihood Estimation Using Price Data Of The Derivative Contract," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 155-167, April.
    17. Duan, Jin-Chuan & Van Laere, Elisabeth, 2012. "A public good approach to credit ratings – From concept to reality," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3239-3247.
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