Estimating structural credit risk models when market prices are contaminated with noise

2015 ◽  
Vol 32 (1) ◽  
pp. 18-32 ◽  
Author(s):  
Tae Yeon Kwon†‡ ◽  
Yoonjung Lee
Keyword(s):  
Credit Risk ◽  
Risk Models ◽  
Market Prices ◽  
Structural Credit Risk Models

From default probabilities to credit spreads: Credit risk models do explain market prices

2006 ◽  
Vol 3 (2) ◽  
pp. 79-95 ◽  
Author(s):  
Stefan M. Denzler ◽  
Michel M. Dacorogna ◽  
Ulrich A. Müller ◽  
Alexander J. McNeil
Keyword(s):  
Credit Risk ◽  
Credit Spreads ◽  
Risk Models ◽  
Market Prices

Discriminatory power and predictions of defaults of structural credit risk models

2009 ◽  
Vol 3 (4) ◽  
pp. 39-60 ◽  
Author(s):  
Tak-Chuen Wong ◽  
Cho-hoi Hui ◽  
Chi-fai Lo
Keyword(s):  
Credit Risk ◽  
Discriminatory Power ◽  
Risk Models ◽  
Structural Credit Risk Models
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