Parameter Estimation in Credit Models Under Incomplete Information

DOI10.1080/03610926.2013.835415MaRDI QIDQ5419657zbMATH OpenOpenAlexFDO

Authors Alexander Herbertsson, Rüdiger Frey

Publication date 11 June 2014

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.835415

zbMATH Keywords

CDS indexcredit riskfilteringmaximum-likelihood

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Credit risk (91G40)

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Cites work

• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• Credit risk and incomplete information: filtering and EM parameter estimation
• CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION
• scientific article; zbMATH DE number 1834589 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Modeling frailty-correlated defaults using many macroeconomic covariates
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering

Cited in

(7)

• Recovering default risk from CDS spreads with a nonlinear filter
• Online estimation for a predictive analytics platform with a financial-stability-analysis application
• Credit risk and incomplete information: filtering and EM parameter estimation
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
• Credit risk estimation with a particle filter
• Application of nonlinear filtering to credit risk

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