Abstract:We propose a new approach for the estimation of defaults and other forms of exit of borrowers. Our approach is based on the ordered qualitative response model. We first show that any ordered qualitative response model is equivalent to the competing risks model -commonly employed in the estimation of corporate defaults and other forms of exit -in continuous-time. We then construct the continuous-time likelihood function of the models and further present its discrete-time simplification. Lastly, we compare and c… Show more
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