Estimation of correlations in portfolio credit risk models based on noisy security prices
Mathieu Boudreault, Geneviève Gauthier, Tommy Thomassin
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Boudreault, Mathieu ; Gauthier, Geneviève ; Thomassin, Tommy |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 61.2015, p. 334-349
|
| Subject: | Credit risk | Correlation | Estimation | Noise | Maximum likelihood | Unscented Kalman filter (UKF) | Kreditrisiko | Korrelation | Portfolio-Management | Portfolio selection | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Schätzung | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2015.10.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011589542