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Additive Intensity Regression Models in Corporate Default Analysis

Publikation: Forskning - peer reviewTidsskriftartikel

We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, nonfinancial U.S. firms. The setting allows for estimating and testing the significance of time-varying effects. We use a variety of model checking techniques to identify misspecifications. In our final model, we find evidence of time-variation in the effects of distance-to-default and short-to-long term debt. Also we identify interactions between distance-to-default and other covariates, and the quick ratio covariate is significant. None of our macroeconomic covariates are significant.

Publikationsoplysninger

OriginalsprogEngelsk
TidsskriftJournal of Financial Econometrics
Vol/bind11
Tidsskriftsnummer3
Sider (fra-til)443-485
ISSN1479-8409
DOI
StatusUdgivet - jun. 2013

    Emneord

  • Aalen's additive regression model, Default risk modeling, Martingale residual processes

ID: 38599713