Forecasting Corporate Default Probabilities with Survival Models in Affine Settings

Beatrice Acciaio, Paolo Bordi and Elena Stanghellini

Abstract

We study the survival probability of an homogeneous group of economic agents by adopting the reduced-form approach and assuming an affine evolution of the default intensities. We consider both the cases of continuous and discrete-times observations, and discuss the estimation of the parameters of interest.

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