Application of nonlinear filtering to credit risk

DOI10.1016/J.ORL.2010.08.013zbMATH Open1202.91335OpenAlexW2129169950MaRDI QIDQ614031FDOQ614031

Authors: Vivek Borkar, Mrinal K. Ghosh, Govindan Rangarajan 

Publication date: 23 December 2010

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2010.08.013

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zbMATH Keywords

EM algorithmequitynonlinear filterassetMerton's model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Credit risk (91G40)

Cites Work

• The pricing of options and corporate liabilities
• Stochastic processes and filtering theory
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Title not available (Why is that?)
• Information Theory and Statistics: A Tutorial
• Credit risk: Modelling, valuation and hedging
• Title not available (Why is that?)
• Term Structures of Credit Spreads with Incomplete Accounting Information
• An Introduction to Credit Risk Modeling
• Nonlinear Filtering Revisited: A Spectral Approach
• Title not available (Why is that?)
• Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
• Title not available (Why is that?)
• McKean-Vlasov limit in portfolio optimization
• Approximation of the Kushner Equation for Nonlinear Filtering
• Diffusion Processes with Unbounded Drift Coefficient
• Fourier-Hermite expansions for nonlinear filtering
• Randomized structural models of credit spreads
• A unified framework for pricing credit and equity derivatives

Cited In (11)

• Estimating structural credit risk models when market prices are contaminated with noise
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Credit risk and incomplete information: filtering and EM parameter estimation
• Recovering default risk from CDS spreads with a nonlinear filter
• Nonlinear filtering in models for interest-rate and credit risk
• Credit risk estimation with a particle filter
• Title not available (Why is that?)
• Probabilistic prediction of credit ratings: a filtering approach
• Credit risk in an economy with new firms arrivals

Uses Software

• astsa

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