Zhou, Ping (2007) Forecasting bankruptcy and physical default intensity. Financial Markets Group Discussion Papers (614). Financial Markets Group, The London School of Economics and Political Science, London, UK.
|
PDF
- Published Version
Download (196kB) | Preview |
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: | https://www.fmg.ac.uk/ |
| Additional Information: | © 2007 The Author |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| JEL classification: | E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E17 - Forecasting and Simulation |
| Date Deposited: | 10 Jul 2009 15:00 |
| Last Modified: | 09 May 2025 01:01 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24434 |
Actions (login required)
 |
View Item |
Download Statistics
Download Statistics