Stewart Jones – Advances in Credit Risk Modelling & Corporate Bankruptcy Prediction

Description

The subject of credit score threat and company chapter prediction has gained appreciable momentum following the collapse of many massive firms around the globe, and extra not too long ago via the sub-prime scandal in the United States. This e book gives a radical compendium of the completely different modelling approaches out there in the sphere, together with a number of new strategies that stretch the horizons of future analysis and observe. Topics lined embody probit fashions (in explicit bivariate probit modelling), superior logistic regression fashions (in explicit blended logit, nested logit and latent class fashions), survival evaluation fashions, non-parametric strategies (significantly neural networks and recursive partitioning fashions), structural fashions and diminished kind (depth) modelling. Models and strategies are illustrated with empirical examples and are accompanied by a cautious rationalization of mannequin derivation points. This sensible and empirically-based strategy makes the e book a great useful resource for all these involved with credit score threat and company chapter, together with lecturers, practitioners and regulators.