Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction

Stewart Jones (University of Sydney), David A. Hensher (University of Sydney)

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English

Cambridge University Press
25 September 2008

Risk assessment; Corporate finance; Credit & credit institutions

Series: Quantitative Methods for Applied Economics and Business Research

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.

Edited by: Stewart Jones (University of Sydney), David A. Hensher (University of Sydney)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 253mm, Width: 179mm, Spine: 22mm
Weight: 750g
ISBN: 9780521869287
ISBN 10: 0521869285
Series: Quantitative Methods for Applied Economics and Business Research
Pages: 312
Publication Date: 25 September 2008
Audience: Professional and scholarly , College/higher education , Undergraduate , Further / Higher Education
Format: Hardback
Publisher's Status: Active

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.

Reviews for Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction

'… 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.' The Times Higher Education Supplement