Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach
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KeywordsCredit risk; Merton model; Stochastic volatility; Particle Filtter; Default probability; CDS;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-02 (All new papers)
- NEP-BAN-2013-11-02 (Banking)
- NEP-ECM-2013-11-02 (Econometrics)
- NEP-ORE-2013-11-02 (Operations Research)
- NEP-RMG-2013-11-02 (Risk Management)
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