Leandro Saita

Independent

No Address Available

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

Multi-Period Corporate Default Prediction with Stochastic Covariates

FDIC Center For Financial Research Working Paper No. 2006-05
Number of pages: 44 Posted: 23 May 2006
Darrell Duffie, Leandro Saita and Ke Wang
Stanford University - Graduate School of Business, Independent and Board of Governors of the Federal Reserve System
Downloads 690 (35,625)
Citation 6

Abstract:

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default, bankruptcy, duration analysis, doubly stochastic

Multi-Period Corporate Default Prediction with Stochastic Covariates

NBER Working Paper No. w11962
Number of pages: 46 Posted: 24 Apr 2006 Last Revised: 09 Sep 2010
Darrell Duffie, Leandro Saita and Ke Wang
Stanford University - Graduate School of Business, Independent and Board of Governors of the Federal Reserve System
Downloads 69 (333,727)
Citation 7

Abstract:

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2.
Downloads 478 ( 58,235)
Citation 134

Common Failings: How Corporate Defaults are Correlated

Journal of Finance, Forthcoming
Number of pages: 36 Posted: 02 Jan 2006
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 434 (64,866)

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Correlated default, doubly stochastic, contagion, frailty

Common Failings: How Corporate Defaults are Correlated

NBER Working Paper No. w11961
Number of pages: 29 Posted: 23 Jan 2006 Last Revised: 08 Sep 2010
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 44 (414,729)
Citation 5

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3.

Frailty Correlated Default

Swiss Finance Institute Research Paper No. 08-44
Number of pages: 53 Posted: 23 Dec 2008
Stanford University - Graduate School of Business, Stanford University - Department of Statistics, Independent and Stanford University
Downloads 470 (59,446)
Citation 31

Abstract:

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correlated default, doubly stochastic, frailty, latent factor