Estimating structural credit risk models when market prices are contaminated with noise
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Publication:4628717
DOI10.1002/asmb.2120zbMath1409.91263OpenAlexW1944111115MaRDI QIDQ4628717
Publication date: 15 March 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2120
Black-Cox modelcross-asset class researchgeneralized Gibbs samplingparticle-filter algorithmsampling-importance-resampling (SIR)stock market noise
Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
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