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

Applied Stochastic Models in Business and Industry ◽

10.1002/asmb.2120 ◽

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

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An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices

10.2469/dig.v34.n4.1562 ◽

2004 ◽

Vol 34 (4) ◽

pp. 32-33

Author(s):

Lorne Jeremy Zeiler

Keyword(s):

Empirical Study ◽

Credit Risk ◽

Risk Models ◽

Bond Prices ◽

Structural Credit Risk Models

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Structural Credit Risk Models: Endogenous Versus Exogenous Default

Encyclopedia of Finance ◽

10.1007/978-1-4614-5360-4_56 ◽

2012 ◽

pp. 645-657

Author(s):

Michael B. Imerman

Keyword(s):

Credit Risk ◽

Risk Models ◽

Structural Credit Risk Models

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Bankruptcy prediction and structural credit risk models

Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction ◽

10.1017/cbo9780511754197.007 ◽

2010 ◽

pp. 154-174 ◽

Author(s):

Andreas Charitou ◽

Neophytos Lambertides ◽

Lenos Trigeorgis

Keyword(s):

Credit Risk ◽

Bankruptcy Prediction ◽

Risk Models ◽

Structural Credit Risk Models

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Calibration and Analysis of Structural Credit Risk Models with Occupation Time

10.1007/978-3-030-63591-6_64 ◽

2021 ◽

pp. 705-713

Author(s):

Malhar M. Mukhopadhyay ◽

Roman N. Makarov

Keyword(s):

Credit Risk ◽

Occupation Time ◽

Risk Models ◽

Structural Credit Risk Models

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Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2018.11.005 ◽

2019 ◽

Vol 100 ◽

pp. 297-313

Author(s):

Diego Amaya ◽

Mathieu Boudreault ◽

Don L. McLeish

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Credit Risk ◽

Likelihood Estimation ◽

Risk Models ◽

First Passage ◽

Survivorship Bias ◽

Structural Credit Risk Models

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Specification Analysis of Structural Credit Risk Models*

Review of Finance ◽

10.1093/rof/rfz006 ◽

2019 ◽

Author(s):

Jing-Zhi Huang ◽

Zhan Shi ◽

Hao Zhou

Keyword(s):

Credit Risk ◽

Risk Models ◽

Structural Credit Risk Models ◽

Specification Analysis

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

Finance Research Letters ◽

10.1016/j.frl.2006.01.004 ◽

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 ◽

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Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks

Journal of the Knowledge Economy ◽

10.1007/s13132-017-0473-1 ◽

2017 ◽

Vol 10 (2) ◽

pp. 711-733 ◽

Author(s):

Abdelkader Derbali ◽

Lamia Jamel

Keyword(s):

Credit Risk ◽

Recovery Rate ◽

Default Probability ◽

Risk Models ◽

Greek Banks ◽

Structural Credit Risk Models

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Discriminatory power and predictions of defaults of structural credit risk models

The Journal of Risk Model Validation ◽

10.21314/jrmv.2009.046 ◽

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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Bayesian analysis of structural credit risk models with microstructure noises

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2010.05.008 ◽

2010 ◽

Vol 34 (11) ◽

pp. 2259-2272 ◽

Author(s):

Shirley J. Huang ◽

Jun Yu

Keyword(s):

Bayesian Analysis ◽

Credit Risk ◽

Risk Models ◽

Structural Credit Risk Models

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