Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006.
"Estimation of the Default Risk of Publicly Traded Canadian Companies,"
Cahiers de recherche
- Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Staff Working Papers 06-28, Bank of Canada.
- Abel Elizalde, 2006. "Credit Risk Models Ii: Structural Models," Working Papers wp2006_0606, CEMFI.
More about this item
KeywordsParticle filtering; maximum likelihood; option pricing; credit risk; simulation;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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