{"created":"2021-03-01T07:02:26.795667+00:00","id":42543,"links":{},"metadata":{"_buckets":{"deposit":"177c2115-8846-4700-b98c-c777f09b41dd"},"_deposit":{"id":"42543","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42543"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042543","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2005-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-373","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of ?rm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1979 to 2004, the level and shape of the estimated term structure of conditional future default probabilities depends on a firm's distance to default (a volatility-adjusted measure of leverage), on the firm's trailing stock return, on trailing S& P 500 returns, and on U.S. interest rates, among other covariates. Variation in a firm's distance to default has a substantially greater effection the term structure of future default hazard rates than does a comparatively significant change in any of the other covariates. Default intensities are estimated to be lower with higher short-term interest rates. Theout-of-samplepredictive performance of the model is an improvement over that of other available models.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cf373ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Stanford University"},{"subitem_text_value":"University of Tokyo"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Duffie, Darrel"}],"nameIdentifiers":[{"nameIdentifier":"97868","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Leandro, Saita"}],"nameIdentifiers":[{"nameIdentifier":"97869","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Ke, Wang"}],"nameIdentifiers":[{"nameIdentifier":"97870","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"default","subitem_subject_scheme":"Other"},{"subitem_subject":"bankruptcy","subitem_subject_scheme":"Other"},{"subitem_subject":"duration analysis","subitem_subject_scheme":"Other"},{"subitem_subject":"doubly stochastic","subitem_subject_scheme":"Other"},{"subitem_subject":"distance to default","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classification Numbers: C41, G33, E44","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Multi-Period Corporate Default Prediction With Stochastic Covariates","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Multi-Period Corporate Default Prediction With Stochastic Covariates"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-06-03"},"publish_date":"2013-06-03","publish_status":"0","recid":"42543","relation_version_is_last":true,"title":["Multi-Period Corporate Default Prediction With Stochastic Covariates"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:41.647074+00:00"}