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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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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
Library of Congress subject classification: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E17 - Forecasting and Simulation
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 614
Date Deposited: 10 Jul 2009 15:00
URL: http://eprints.lse.ac.uk/24434/

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