Multiperiod corporate default prediction—A forward intensity approach
多期企业违约预测：前瞻强度方法
A forward intensity model for the prediction of corporate defaults over different future periods is proposed. Maximum pseudo-likelihood analysis is then conducted on a large sample of the US industrial and financial firms spanning the period 1991–2011 on a monthly basis. Several commonly used factors and firm-specific attributes are shown to be useful for prediction at both short and long horizons. Our implementation also factors in momentum in some variables and documents…