Incorporating the dynamics of leverage into default prediction
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More about this item
Keywords
default prediction; discrete duration model; leverage targeting; mean reversion; credit rating;All these keywords.
JEL classification:
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2009-04-25 (Business Economics)
- NEP-CFN-2009-04-25 (Corporate Finance)
- NEP-RMG-2009-04-25 (Risk Management)
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