Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction

Stewart Jones is Professor of Accounting at the University of Sydney. He has published extensively in the area of credit risk and corporate bankruptcy, and is co-editor of the leading international accounting and finance journal, Abacus. David Hensher is Professor of Management at the University of Sydney. He is the author of numerous books and articles on discrete choice models, including Stated Choice Methods (Cambridge, 2000) and Applied Choice Analysis (Cambridge, 2005). He teaches discrete choice modelling to academic, business and government audiences, and is also a partner in Econometric Software, the developers of Nlogit and Limdep.

List of figures; List of tables; List of contributors; Introduction Stewart Jones and David A. Hensher; 1. A statistical model for credit scoring William H. Greene; 2. Mixed Logit and error component models of corporate insolvency and bankruptcy risk Stewart Jones and David A. Hensher; 3. An evaluation of open and closed form distress prediction models: the nested Logit and latent class models Stewart Jones and David A. Hensher; 4. Survival analysis and omitted dividends Marc J. Leclere; 5. Non-parametric methods for credit risk analysis: neural networks and recursive partitioning techniques Maurice Peat; 6. Bankruptcy prediction and structural credit risk models Andreas Charitou, Neophytos Lambertides and Lenos Trigeorgis; 7. Default recovery rates and LGD in credit risk modeling and practice: an updated review of the literature and empirical evidence Edward I. Altman; 8. Credit derivatives: current practices and controversies Stewart Jones and Maurice Peat; 9. Local government distress in Australia: a latent class regression analysis Stewart Jones and Robert G. Walker; 10. A belief-function perspective to credit risk assessments Rajendra P. Srivastava and Stewart Jones; Index.