【摘 要】
：
The risk of default pay key role in the managing and hedging of credit risk.In particular,it is very important to estimate default probability in evaluating
【机 构】
：
Academy of Mathematics and Systems Science,Chinese Academy of Sciences
【出 处】
：
2009 International Conference on Financial Statistics and Fi
论文部分内容阅读
The risk of default pay key role in the managing and hedging of credit risk.In particular,it is very important to estimate default probability in evaluating risk and pricing credit derivatives.In this paper we consider the credit default risk models with risk factors in multi-period corporate default prediction by incorporating the dynamiccovariates to characterize the contagion effect of default.We propose maximum likelihood estimators for term structure of conditional probabilities of corporate default,exit and other events.Some properties of maximum likelihood estimators for default and exit intensities are derived.
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