Specification analysis of structural credit risk models (Q5048050)
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scientific article; zbMATH DE number 7619093
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Specification analysis of structural credit risk models |
scientific article; zbMATH DE number 7619093 |
Statements
Specification Analysis of Structural Credit Risk Models* (English)
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17 November 2022
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structural credit risk models
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GMM
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consistent specification analysis
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credit default swaps
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CDS hedging
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jump-diffusion models
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stochastic asset volatility
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realized equity volatility
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0.7820795774459839
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0.7469767332077026
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0.7425804734230042
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0.7341619729995728
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0.7251302599906921
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