Bayesian analysis of structural credit risk models with microstructure noises

DOI10.1016/j.jedc.2010.05.008zbMath1201.91215OpenAlexW2152467593MaRDI QIDQ609830

Shirley J. Huang, Jun Yu

Publication date: 1 December 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1154

zbMATH Keywords

credit riskMCMCstructural modelsmicrostructure noisedeviance information criterion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Credit risk (91G40)

Related Items (10)

Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model ⋮ Estimation of correlations in portfolio credit risk models based on noisy security prices ⋮ A coupled Markov chain approach to credit risk modeling ⋮ Efficient learning via simulation: a marginalized resample-move approach ⋮ Maximum likelihood estimation of partially observed diffusion models ⋮ Estimating structural credit risk models when market prices are contaminated with noise ⋮ Corporate credit risk prediction under stochastic volatility and jumps ⋮ Recovering default risk from CDS spreads with a nonlinear filter ⋮ Credit risk and asymmetric information: a simplified approach ⋮ Simulation-Based Estimation Methods for Financial Time Series Models

Uses Software

• BUGS

Cites Work

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