The regime-switching structural default risk model
Year of publication: |
2024
|
---|---|
Authors: | Milidonis, Andreas ; Chisholm, Kevin |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 3, Art.-No. 48, p. 1-33
|
Subject: | bond ratings | default risk | MLE | regime switching | Kreditrisiko | Credit risk | Kreditwürdigkeit | Credit rating | Unternehmensanleihe | Corporate bond | Insolvenz | Insolvency | Anleihe | Bond | Theorie | Theory | Markov-Kette | Markov chain | Zinsstruktur | Yield curve | Schätzung | Estimation | Risikoprämie | Risk premium |
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