B1675
Title: Corporate probability of default: A single-index Hazard model with multiple-link approach
Authors: Shaobo Li - University of Kansas (United States)
Ben Sherwood - University of Kansas (United States)
Shun Dong - University of Kansas (United States) [presenting]
Abstract: Accurately predicting the probability of default (PD) for corporations is crucial for effective risk management and precise asset pricing. A novel approach is presented for PD prediction by constructing a nonparametric single-index hazard model with multiple-link functions for binary bankruptcy indicators. The proposed model can capture the shape of the PD changes in different industries and model the relationship between corporations and PD for various industries based on the significant financial characteristics of companies.
