Times-To-Default:Life Cycle, Global and Industry Cycle Impact
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Cited by:
- Correia, Ricardo & Población, Javier, 2015. "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 112-130.
- Apergis, Nicholas, 2019. "Oil prices and corporate high-yield spreads: Evidence from panels of nonenergy and energy European firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 34-40.
- Marco Muscettola, 2019. "Distinctiveness of Highly Risky Italian Firms That are Saved-A Logistic Approach," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 64-73, January.
- Ming-Chin Hung & Yung-Kang Ching & Shih-Kuei Lin, 2021. "Impact of COVID-19 on the Robustness of the Probability of Default Estimation Model," Mathematics, MDPI, vol. 9(23), pages 1-13, November.
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Keywords
censored durations; proportional hazard; business cycle; credit cycle; default determinants; default prediction;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2005-05-14 (Business Economics)
- NEP-ENT-2005-05-14 (Entrepreneurship)
- NEP-FIN-2005-05-14 (Finance)
- NEP-RMG-2005-05-14 (Risk Management)
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