Guarin, Alexander; Liu, Xiaoquan; Ng, Wing Lon - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 87-104
We propose a nonlinear filter to estimate the time-varying default risk from the term structure of credit default swap (CDS) spreads. Based on the numerical solution of the Fokker–Planck equation (FPE) using a meshfree interpolation method, the filter performs a joint estimation of the...
