التفاصيل البيبلوغرافية
| العنوان: |
A hybrid information approach to predicting corporate credit risk |
| المؤلفون: |
Bu, Di, Kelly, Simone, Liao, Yin, Zhou, Qing |
| المصدر: |
Journal of Futures Markets |
| بيانات النشر: |
Wiley-Liss Inc. |
| سنة النشر: |
2018 |
| المجموعة: |
Queensland University of Technology: QUT ePrints |
| مصطلحات موضوعية: |
Bond Spread, Corporate Credit Risk, Model Combination, Reduced-form Model, Structural Model |
| الوصف: |
This article proposes a hybrid information approach to predict corporate credit risk. In contrast to the previous literature that debates which credit risk model is the best, we pool information from a diverse set of structural and reduced-form models to produce a model combination based credit risk prediction. Compared with each single model, the pooled strategies yield consistently lower average risk prediction errors over time. We also find that while the reduced-form models contribute more in the pooled strategies for speculative grade names and longer maturities, the structural models have higher weights for shorter maturities and investment grade names. |
| نوع الوثيقة: |
article in journal/newspaper |
| وصف الملف: |
application/pdf |
| اللغة: |
unknown |
| Relation: |
https://eprints.qut.edu.au/223760/1/117749.pdf; Bu, Di, Kelly, Simone, Liao, Yin, & Zhou, Qing (2018) A hybrid information approach to predicting corporate credit risk. Journal of Futures Markets, 38(9), pp. 1062-1078.; https://eprints.qut.edu.au/223760/; QUT Business School; School of Economics & Finance |
| الاتاحة: |
https://eprints.qut.edu.au/223760/ |
| Rights: |
free_to_read ; Consult author(s) regarding copyright matters ; This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au |
| رقم الانضمام: |
edsbas.633A2E47 |
| قاعدة البيانات: |
BASE |