Corporate credit risk prediction under stochastic volatility and jumps

DOI10.1016/j.jedc.2014.08.006zbMath1402.91840OpenAlexW2030429553MaRDI QIDQ1991927

Yin Liao, Di Bu

Publication date: 2 November 2018

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

Full work available at URL: https://eprints.qut.edu.au/77848/2/77848a.pdf

zbMATH Keywords

jumpsstochastic volatilitycredit riskCDS spreadMerton model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Credit risk (91G40)

Related Items (4)

Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model ⋮ Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model ⋮ The challenge in managing new financial risks: adopting an heuristic or theoretical approach

Cites Work

• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Bayesian analysis of structural credit risk models with microstructure noises
• Efficient learning via simulation: a marginalized resample-move approach

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