Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias (Q1734558)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias |
scientific article |
Statements
Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias (English)
0 references
27 March 2019
0 references
survival bias
0 references
geometric Brownian motion
0 references
conditional estimation
0 references
default probability
0 references
inference
0 references
diffusion processes
0 references
0 references
