Estimation of correlations in portfolio credit risk models based on noisy security prices

DOI10.1016/j.jedc.2015.10.001zbMath1401.91543OpenAlexW2209948770MaRDI QIDQ1657453

Geneviève Gauthier, Mathieu Boudreault, Tommy Thomassin

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.10.001

zbMATH Keywords

correlationnoiseestimationmaximum likelihoodcredit riskunscented Kalman filter (UKF)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Uses Software

• QRM

Cites Work

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• Computing the nearest correlation matrix--a problem from finance
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Bayesian analysis of structural credit risk models with microstructure noises
• Estimating asset correlations from stock prices or default rates -- which method is superior?
• An unscented Kalman smoother for volatility extraction: evidence from stock prices and options
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Computing a Nearest Correlation Matrix with Factor Structure
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Term Structures of Credit Spreads with Incomplete Accounting Information