Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence

DOI10.1142/9789811202391_0050zbMath1451.91214OpenAlexW3086491138MaRDI QIDQ5139465

Ren-Raw Chen, Cheng-Few Lee, Han-Hsing Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0050

zbMATH Keywords

Monte Carlo experimentmaximum likelihood estimation (MLE)structural credit risk modeldefault predictionestimation approachdown-and-out barrier modelKMV estimation method

Mathematics Subject Classification ID

Credit risk (91G40)

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