Estimating default barriers from market information

DOI10.1080/14697680802047041MaRDI QIDQ3623409zbMATH OpenOpenAlexWikidataFDO

Authors Hoi Ying Wong, Tsz Wang Choi

Publication date 20 April 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802047041

zbMATH Keywords

capital structureapplied econometricsapplications to default riskapplied mathematical financeapplied finance

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Empirical studies of structural credit risk models and the application in default prediction: review and new evidence
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• Pricing vulnerable European options with stochastic default barriers
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Cites work

• A Simplex Method for Function Minimization
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• The pricing of options and corporate liabilities

Cited in

(5)

• Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
• Empirical studies of structural credit risk models and the application in default prediction: review and new evidence
• Empirical studies of structural credit risk models and the application in default prediction: review and new evidence
• Structural model of credit migration
• Calibrating structural models: a new methodology based on stock and credit default swap data

Describes a project that uses

Uses Software

• DerivaGem
• fminsearch

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