Multi-factor default correlation model estimation : enhancement with bootstrapping
Zhihui Yang, Saikat Ray Majumder, Weiwei Shen, Stephane Karm, Douglas Cameron and James Gellert
| Year of publication: |
2024
|
|---|---|
| Authors: | Yang, Zhihui ; Ray Majumder, Saikat ; Shen, Weiwei ; Karm, Stephane ; Cameron, Douglas ; Gellert, James |
| Published in: |
Journal of risk : JOR. - London : Infopro Digital Risk, ISSN 1755-2842, ZDB-ID 2091446-5. - Vol. 26.2024, 3, p. 33-48
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| Subject: | Credit risk | multifactor default correlation | bootstrapping | maximum likelihood estimation | Merton structural model | Kreditrisiko | Bootstrap-Verfahren | Bootstrap approach | Korrelation | Correlation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | Insolvenz | Insolvency | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2023.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014487316