Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

DOI10.1016/J.JEDC.2018.11.005MaRDI QIDQ1734558zbMATH OpenOpenAlexWikidataFDO

Authors Diego Amaya, Mathieu Boudreault, Donald L. McLeish

Publication date 27 March 2019

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10012/15614

zbMATH Keywords

conditional estimationdefault probabilitydiffusion processesgeometric Brownian motioninferencesurvival bias

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Credit risk: simple closed-form approximate maximum likelihood estimator
• Modelling consumer credit risk via survival analysis
• Semiparametric maximum likelihood inference for truncated or biased-sampling data
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Credit risk modeling based on survival analysis with immunes

Cites work

• Bias in the estimation of the mean reversion parameter in continuous time models
• Estimating default barriers from market information
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• scientific article; zbMATH DE number 3522963 (Why is no real title available?)
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Parameter estimation and bias correction for diffusion processes

Cited in

(3)

• Identifying hidden patterns in credit risk survival data using generalised additive models
• The stability of survival model parameter estimates for predicting the probability of default: empirical evidence over the credit crisis
• Quasi-maximum likelihood for estimating structural models

This page was built for publication: Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1734558)