@article{article_348787, title={An Ordered Qualitative Response Modeling Approach for the Estimation of Corporate Defaults and Other Forms of Exit}, journal={Istanbul Gelisim University Journal of Social Sciences}, volume={4}, pages={159–183}, year={2017}, DOI={10.17336/igusbd.348787}, author={Alçın, Sinan and Öncü, T. Sabri}, keywords={Banking,Risk Management,Finance,Econometrics,Financial Econometrics}, abstract={<p class="MsoNormal" style="margin-top:6pt;margin-right:0cm;margin-bottom:.0001pt;margin-left:0cm;text-align:justify;text-indent:1cm;"> <span lang="en-us" style="font-size:10pt;line-height:115%;font-family:Cambria, serif;" xml:lang="en-us">We
propose a new approach for the estimation of defaults and other forms of exit
of borrowers. Our approach is based on the ordered qualitative response model.
We first show that any ordered qualitative response model is equivalent to the
competing risks model – commonly employed in the estimation of corporate
defaults and other forms of exit – in continuous-time. We then construct the
continuous-time likelihood function of the models and further present its
discrete-time simplification. Lastly, we compare and contrast the competing
risks and ordered qualitative response models through numerical experiments in
a two-state setting, and demonstrate that none of the alternatives necessarily
dominates the others. Our results indicate that it may be worthwhile to
estimate the models in continuous-time.  </span> </p> <p> </p>}, number={2}, publisher={İstanbul Gelisim University}