Multi-period credit default prediction with time-varying covariates

Arbeitspapier

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock market variables. If the prediction horizon covers multiple periods, this leads to the problem that the future evolution of these covariates is unknown. Consequently, some authors have proposed a framework that augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi-period prediction that avoid the burden to specify and estimate a model for the covariate processes. In an application to North American public firms, we show that the proposed models deliver high out-of-sample predictive accuracy.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Discussion Papers in Statistics and Econometrics ; No. 3/11

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Duration Analysis; Optimal Timing Strategies ; Forecasting Models; Simulation Methods ; Financial Econometrics ; Financial Forecasting and Simulation ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill ; Bankruptcy; Liquidation
• Thema: credit default ; multi-period predictions ; hazard models ; panel data ; out-of-sample tests

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Orth, Walter
• Ereignis: Veröffentlichung
• (wer): University of Cologne, Seminar of Economic and Social Statistics
• (wo): Cologne
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/45363
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ