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Forecasting bankruptcy and physical default intensity

Zhou, Ping (2007) Forecasting bankruptcy and physical default intensity. Discussion paper, 614. Financial Markets Group, London School of Economics and Political Science, London, UK.

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Identification Number: 614

Abstract

This report presents two of our investigations: one is to obtain an accurate forecast for the corporate bankruptcy; the other is to obtain a physical default intensity. Both investigations were based on the hazard model, using only firm-specific accounting variables as predictors. Different methods, such as the list-wise deleting, closest- value imputation and multiple imputation, were applied to tackling the problem of missing values. Our empirical studies showed that the multiple imputation performed the best amongst these methods and led to a forecasting model with economically reasonable predictors and corresponding estimates.

Item Type: Monograph (Discussion Paper)
Official URL: http://fmg.lse.ac.uk
Additional Information: © 2008 The Author
Subjects: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Date Deposited: 10 Jul 2009 15:00
Last Modified: 27 Feb 2014 15:35
URI: http://eprints.lse.ac.uk/id/eprint/24434

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