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Assessing the default risk by means of a discrete-time survival analysis approach

✍ Scribed by Daniele De Leonardis; Roberto Rocci

Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
142 KB
Volume
24
Category
Article
ISSN
1524-1904

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✦ Synopsis

Abstract

In this paper, the problem of company distress is assessed by means of a multi‐period model that exploits the potentialities of the survival analysis approach when both survival times and regressors are measured at discrete points in time. The discrete‐time hazards model can be used both as an empirical framework in the analysis of the causes of the deterioration process that leads to the default and as a tool for the prediction of the same event. Our results show that the prediction accuracy of the duration model is better than that provided by a single‐period logistic model. It is also shown that the predictive power of the discrete‐time survival analysis is enhanced when it is extended to allow for unobserved individual heterogeneity (frailty). Copyright © 2008 John Wiley & Sons, Ltd.

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