Application of nonlinear filtering to credit risk

DOI10.1016/J.ORL.2010.08.013MaRDI QIDQ614031zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
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• Approximation of the Kushner Equation for Nonlinear Filtering
• Credit risk: Modelling, valuation and hedging
• Diffusion Processes with Unbounded Drift Coefficient
• Fourier-Hermite expansions for nonlinear filtering
• Information Theory and Statistics: A Tutorial
• McKean-Vlasov limit in portfolio optimization
• Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
• Nonlinear Filtering Revisited: A Spectral Approach
• Randomized structural models of credit spreads
• Stochastic processes and filtering theory
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The pricing of options and corporate liabilities

Cited in

(11)

• Credit risk and incomplete information: filtering and EM parameter estimation
• scientific article; zbMATH DE number 7640338 (Why is no real title available?)
• Credit risk estimation with a particle filter
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• Estimating structural credit risk models when market prices are contaminated with noise
• Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
• Probabilistic prediction of credit ratings: a filtering approach
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Credit risk in an economy with new firms arrivals
• Nonlinear filtering in models for interest-rate and credit risk
• Recovering default risk from CDS spreads with a nonlinear filter

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Uses Software

• astsa

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