Parameter Estimation in Credit Models Under Incomplete Information

DOI10.1080/03610926.2013.835415zbMath1422.91745OpenAlexW2015174923MaRDI QIDQ5419657

Rüdiger Frey, Alexander Herbertsson

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

filteringcredit riskmaximum-likelihoodCDS index

Mathematics Subject Classification ID

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

Cites Work

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• Modeling frailty-correlated defaults using many macroeconomic covariates
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• CREDIT RISK AND INCOMPLETE INFORMATION: FILTERING AND EM PARAMETER ESTIMATION
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION

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