Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
Diego Amaya, Mathieu Boudreault, Don L. McLeish
| Year of publication: |
2019
|
|---|---|
| Authors: | Amaya, Diego ; Boudreault, Mathieu ; McLeish, Don L. |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 100.2019, p. 297-313
|
| Subject: | Conditional estimation | Default probability | Diffusion processes | Geometric Brownian motion | Inference | Survival bias | Kreditrisiko | Credit risk | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Systematischer Fehler | Bias | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2018.11.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012130974