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首页> 美国政府科技报告 >Multi-Period Corporate Default Prediction with Stochastic Covariates: FDIC Center for Financial Research Working Paper, No. 2006-05
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Multi-Period Corporate Default Prediction with Stochastic Covariates: FDIC Center for Financial Research Working Paper, No. 2006-05

机译：随机协变量的多期公司违约预测：FDIC金融研究中心工作文件，第2006-05号

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The authors provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1980 to 2004, the level and shape of the estimated term structure of conditional future default probabilities depends on a firms distance to default (a volatility-adjusted measure of leverage), on the firms trailing stock return, on trailing S&P 500 returns, and on U.S. interest rates, among other covariates. Variation in a firms distance to default has a substantially greater effect on the term structure of future default hazard rates than does a comparatively significant change in any of the other covariates. Default intensities are estimated to be lower with higher short-term interest rates. The out-of-sample predictive performance of the model is an improvement over that of other available models.

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