Estimation of Distress Costs Associated with Downgrades Using Regimeswitching Models

DOI10.1080/10920277.2007.10597483zbMath1480.91291OpenAlexW3121252837MaRDI QIDQ5019764

Shaun S. Wang, Andreas Milidonis

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597483

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model ⋮ The Impact of a Rating Agency's Private Information and Disclosed Causes of Rating Downgrades on Insurer Stock Returns

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A Markov model for switching regressions
• Autoregressive conditional heteroskedasticity and changes in regime
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns

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