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Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction : Quantitative Methods for Applied Economics and Business Research - Stewart Jones

Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction

Quantitative Methods for Applied Economics and Business Research

By: Stewart Jones (Editor), David A. Hensher (Editor)

Paperback Published: 25th September 2008
ISBN: 9780521689540
Number Of Pages: 312

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The field of credit risk and corporate bankruptcy prediction has gained considerable momentum following the collapse of many large corporations around the world, and more recently through the sub-prime scandal in the United States.

This book provides a thorough compendium of the different modelling approaches available in the field, including several new techniques that extend the horizons of future research and practice.

Topics covered include probit models (in particular bivariate probit modelling), advanced logistic regression models (in particular mixed logit, nested logit and latent class models), survival analysis models, non-parametric techniques (particularly neural networks and recursive partitioning models), structural models and reduced form (intensity) modelling. Models and techniques are illustrated with empirical examples and are accompanied by a careful explanation of model derivation issues.

This practical and empirically-based approach makes the book an ideal resource for all those concerned with credit risk and corporate bankruptcy, including academics, practitioners and regulators.

About the Author

Stewart Jones is Professor of Accounting at the University of Sydney. He has published extensively in the area of credit risk and corporate bankruptcy, and is co-editor of the leading international accounting and finance journal, Abacus.

David Hensher is Professor of Management at the University of Sydney. He is the author of numerous books and articles on discrete choice models, including Stated Choice Methods (Cambridge, 2000) and Applied Choice Analysis (Cambridge, 2005). He teaches discrete choice modelling to academic, business and government audiences, and is also a partner in Econometric Software, the developers of Nlogit and Limdep.

Industry Reviews

'... if you wish to learn more about the nature of the financial instruments that have brought the world to its knees, then this ... is a useful starting point.' Times Higher Education

List of figures
List of tables
List of contributors
Introduction Stewart
A statistical model for credit scoring
Mixed Logit and error component models of corporate insolvency and bankruptcy risk Stewart
An evaluation of open and closed form distress prediction models: the nested Logit and latent class models Stewart
Survival analysis and omitted dividends
Non-parametric methods for credit risk analysis: neural networks and recursive partitioning techniques Maurice Peat
Bankruptcy prediction and structural credit risk models Andreas Charitou, Neophytos
Default recovery rates and LGD in credit risk modeling and practice: an updated review of the literature and empirical evidence
Credit derivatives: current practices and controversies Stewart
Local government distress in Australia: a latent class regression analysis Stewart
A belief-function perspective to credit risk assessments
Index

ISBN: 9780521689540
ISBN-10: 0521689546
Series: Quantitative Methods for Applied Economics and Business Research
Audience: Tertiary; University or College
Format: Paperback
Language: English
Number Of Pages: 312
Published: 25th September 2008
Publisher: Cambridge University Press
Country of Publication: GB
Dimensions (cm): 24.7 x 17.4  x 1.8
Weight (kg): 0.612

Earn 166 Qantas Points
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