Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias (Q1734558)
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scientific article; zbMATH DE number 7043285
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| English | Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias |
scientific article; zbMATH DE number 7043285 |
Statements
Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias (English)
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27 March 2019
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survival bias
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geometric Brownian motion
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conditional estimation
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default probability
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inference
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diffusion processes
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0.6939018368721008
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0.6821212768554688
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0.6751551032066345
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0.6723448634147644
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0.6722785830497742
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