Estimating default barriers from market information

DOI10.1080/14697680802047041zbMATH Open1158.91456OpenAlexW2141997803WikidataQ58981028 ScholiaQ58981028MaRDI QIDQ3623409FDOQ3623409

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

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zbMATH Keywords

capital structureapplied econometricsapplications to default riskapplied mathematical financeapplied finance

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

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

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

Uses Software

• fminsearch
• DerivaGem

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