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

applications to default riskapplied econometricsapplied financeapplied mathematical financecapital structure

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
• Empirical studies of structural credit risk models and the application in default prediction: review and new evidence
• Pricing vulnerable European options with stochastic default barriers
• Flexing the default barrier
• A new approach for firm value and default probability estimation beyond Merton models

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

(7)

• Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
• Structural model of credit migration
• Calibrating structural models: a new methodology based on stock and credit default swap data
• 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
• Efficient valuation of barrier options under equity and interest rate risks
• Quasi-maximum likelihood for estimating structural models

Describes a project that uses

Uses Software

• fminsearch
• DerivaGem

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