Specification Analysis of Structural Credit Risk Models*

DOI10.1093/ROF/RFZ006OpenAlexW1916918052MaRDI QIDQ5048050

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Publication date: 17 November 2022

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfz006

zbMATH Keywords

GMMcredit default swapsjump-diffusion modelsstructural credit risk modelsCDS hedgingconsistent specification analysisrealized equity volatilitystochastic asset volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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