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Hidden parameters 1 Iterative algorithm 1 Structural credit risk models 1
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Forte, Santiago 1 Lovreta, Lidija 1
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Journal of Banking & Finance 1
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Endogenizing exogenous default barrier models: The MM algorithm
Forte, Santiago; Lovreta, Lidija - In: Journal of Banking & Finance 36 (2012) 6, pp. 1639-1652
In this paper, we propose a Maximization–Maximization (MM) algorithm for the assessment of hidden parameters in â€¦
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