Add to ORKGIn this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The risk ee on ctive t risk approach the dynamic behavior of the value of a firm’s assets is specified. If the value becomes lower than a threshold which is usually a proportion of the firm’s debt value, the company is considered to be in default. For example, in Black and Contents lists available at ScienceDirec
A Research Project Submitted in Partial Fulfillment of the Requirements for the Degree of Bachelor o...
AbstractAn extension of the structural Merton’s model of risk of default is proposed. It is based on...
Default probability is a fundamental variable determining the credit worthiness of a firm and equity...
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of ...
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of ...
Published in Journal of Econometrics https://doi.org/10.1016/j.jedc.2010.05.008</p
Published in Journal of Econometrics https://doi.org/10.1016/j.jedc.2010.05.008</p
Credit risk management has become the key instrument for better portfolio diversification and relate...
Markov chains have been widely used to the credit risk measurement in the last years. Using these ch...
Credit risk management has become the key instrument for better portfolio diversification and relate...
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabiliti...
The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models de...
This paper provides a Markov chain model for the term structure and credit risk spreads of bond proc...
One critical difficulty in implementing structural credit risk models is that the underlying asset v...
We propose a Markov chain model for credit rating changes. We do not use any distributional assumpti...
A Research Project Submitted in Partial Fulfillment of the Requirements for the Degree of Bachelor o...
AbstractAn extension of the structural Merton’s model of risk of default is proposed. It is based on...
Default probability is a fundamental variable determining the credit worthiness of a firm and equity...
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of ...
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of ...
Published in Journal of Econometrics https://doi.org/10.1016/j.jedc.2010.05.008</p
Published in Journal of Econometrics https://doi.org/10.1016/j.jedc.2010.05.008</p
Credit risk management has become the key instrument for better portfolio diversification and relate...
Markov chains have been widely used to the credit risk measurement in the last years. Using these ch...
Credit risk management has become the key instrument for better portfolio diversification and relate...
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabiliti...
The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models de...
This paper provides a Markov chain model for the term structure and credit risk spreads of bond proc...
One critical difficulty in implementing structural credit risk models is that the underlying asset v...
We propose a Markov chain model for credit rating changes. We do not use any distributional assumpti...
A Research Project Submitted in Partial Fulfillment of the Requirements for the Degree of Bachelor o...
AbstractAn extension of the structural Merton’s model of risk of default is proposed. It is based on...
Default probability is a fundamental variable determining the credit worthiness of a firm and equity...