Estimating structural credit risk models when market prices are contaminated with noise (Q4628717)
From MaRDI portal
scientific article; zbMATH DE number 7036572
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating structural credit risk models when market prices are contaminated with noise |
scientific article; zbMATH DE number 7036572 |
Statements
Estimating structural credit risk models when market prices are contaminated with noise (English)
0 references
15 March 2019
0 references
Black-Cox model
0 references
stock market noise
0 references
cross-asset class research
0 references
particle-filter algorithm
0 references
sampling-importance-resampling (SIR)
0 references
generalized Gibbs sampling
0 references
0 references
0 references
0 references
