Dissertations, Theses, and Capstone Projects
Date of Degree
2010
Document Type
Dissertation
Degree Name
Ph.D.
Program
Economics
Advisor
Thom Thurston
Committee Members
Yildiray Yildirim
Michael Grossman
Mehmet Ozbilgin
Subject Categories
Economics
Abstract
The hazard rate models used in recent bankruptcy literature assume censoring and default are two independent events, which means the censored company will eventually default. However we believe there will be a portion in the censored group that will be long-term survivors and we propose a mixture model of survivors and risky companies. Moreover this dissertation models the event and the timing of default incident at the same time. For the event of default and the timing of default we utilize a logistic regression. The results have justified the advantage of our model over the standard hazard rate models and proved its predictive power. The companies identified as high default risk by our model proved to deliver extremely low returns in the market.
Recommended Citation
Topaloglu, Zeynep, "Default Risk" (2010). CUNY Academic Works.
https://academicworks.cuny.edu/gc_etds/4432
Comments
Digital reproduction from the UMI microform.