Specification Analysis of Structural Credit Risk Models* (Q5048050)
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scientific article; zbMATH DE number 7619093
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Specification Analysis of Structural Credit Risk Models* |
scientific article; zbMATH DE number 7619093 |
Statements
Specification Analysis of Structural Credit Risk Models* (English)
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17 November 2022
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structural credit risk models
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GMM
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consistent specification analysis
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credit default swaps
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CDS hedging
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jump-diffusion models
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stochastic asset volatility
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realized equity volatility
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