A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes (Q6175370)
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scientific article; zbMATH DE number 7715866
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes |
scientific article; zbMATH DE number 7715866 |
Statements
A methodology to estimate the optimal debt ratio when asset returns, and default probability follow stochastic processes (English)
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21 July 2023
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CDS
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credit rating
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implied dafault propability
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optimal debt ratio
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stochastic optimal control
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optimal market-based corporate financial structure
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risky environment
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Brownian motion
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Ornstein-Uhlenbeck process
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dynamic programming
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quadratic Hamilton-Jacobi-Bellman (HJB) equation
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Kalman filter approach
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