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
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|---|---|
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbu018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011417815