Bayesian inference for a structural credit risk model with stochastic volatility and stochastic interest rates

Abel Rodríguez, Enrique ter Horst, and Samuel Malone

Year of publication:	2015
Authors:	Rodriguez, Abel ; Horst, Enrique ter ; Malone, Samuel
Published in:	Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 4, p. 839-867
Subject:	Bayesian statistics \| credit default swaps \| structural credit risk models \| Kreditrisiko \| Credit risk \| Theorie \| Theory \| Kreditderivat \| Credit derivative \| Stochastischer Prozess \| Stochastic process \| Bayes-Statistik \| Bayesian inference \| Volatilität \| Volatility \| Zinsstruktur \| Yield curve \| Schätzung \| Estimation

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