Structural Credit Risk Model with Stochastic Volatility: A Particle-filter Approach
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Cited by:
- Jessen, Cathrine & Lando, David, 2015. "Robustness of distance-to-default," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 493-505.
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More about this item
Keywords
Credit risk; Merton model; Stochastic volatility; Particle Filtter; Default probability; CDS;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- 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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