Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

DOI10.1016/j.jedc.2018.11.005zbMath1411.91593OpenAlexW2910961230WikidataQ128580212 ScholiaQ128580212MaRDI QIDQ1734558

Mathieu Boudreault, Diego Amaya, Donald L. McLeish

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10012/15614

zbMATH Keywords

diffusion processesinferencegeometric Brownian motiondefault probabilityconditional estimationsurvival bias

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cites Work

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• Parameter estimation and bias correction for diffusion processes
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Bias in the estimation of the mean reversion parameter in continuous time models
• Estimating default barriers from market information
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

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