On a statistical analysis of implied data

DOI10.1007/S10690-010-9124-2MaRDI QIDQ651380zbMATH OpenOpenAlexFDO

Authors Hajime Takahashi

Publication date 13 December 2011

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-010-9124-2

zbMATH Keywords

bootstrapasymptotic normalityconsistencydelta methodstatistical modelparametric modelpseudo maximum likelihood estimatorimplied default probability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 3385132 (Why is no real title available?)
• Bootstrap methods: another look at the jackknife
• Martingales and stochastic integrals in the theory of continuous trading
• Mathematical methods of statistics.
• Note on the Consistency of the Maximum Likelihood Estimate

Cited in

(4)

• On the Performance of Recovery Rate Modeling
• Measuring of inferred loss rate with application to capital adequacy
• Implied default probability and credit derivatives
• Nonparametric estimation of the probability of default with double smoothing

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