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Numerical Simulation, Calibration and Recover of Credit Boundary

In: Credit Rating Migration Risks in Structure Models

Author

Listed:
  • Jin Liang

    (Tongji University, School of Mathematical Science)

  • Bei Hu

    (University of Notre Dame, Applied and Computational Mathematics and Statistics)

Abstract

The power of mathematical models lies in their ability to explain and predict real world phenomena. In order to reach its full potential, calibration, simulation, and parameters recovery are necessary. In previous chapters, we formulated the theoretical foundation on these models, where we have already shown some numerical results. In this chapter, we focus more on the numerical methods, calibration and empirical examples for our model.

Suggested Citation

  • Jin Liang & Bei Hu, 2024. "Numerical Simulation, Calibration and Recover of Credit Boundary," Springer Books, in: Credit Rating Migration Risks in Structure Models, chapter 0, pages 251-277, Springer.
    • Handle: RePEc:spr:sprchp:978-981-97-2179-5_10
    DOI: 10.1007/978-981-97-2179-5_10
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