Additive Intensity Regression Models in Corporate Default Analysis

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Additive Intensity Regression Models in Corporate Default Analysis

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Title: Additive Intensity Regression Models in Corporate Default Analysis
Author: Lando, David; Medhat, Mandouh; Stenbo Nielsen, Mads; Feodor Nielsen, Søren
Abstract: 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, non- nancial U.S. rms. The setting allows for estimating and testing the signi cance of time-varying e ects. We use a variety of model checking techniques to identify misspeci cations. In our nal model we nd evidence of time-variation in the e ects of distance-to-default and short-to-long term debt, we identify interactions between distance-to-default and other covariates, and the quick ratio covariate is signi cant. None of our macroeconomic covariates are signi cant.
URI: http://hdl.handle.net/10398/9100
Date: 2015-01-26
Notes: This is a pre-copyedited, author-produced PDF of an article accepted for publication in Journal of Financial Econometrics following peer review. The version of record David Lando, Mamdouh Medhat, Mads Stenbo Nielsen, and Søren Feodor Nielsen Additive Intensity Regression Models in Corporate Default Analysis. Journal of Financial Econometrics (Summer 2013) 11 (3): 443-485 is available online at doi: http://dx.doi.org/10.1093/jjfinec/nbs018

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