EMPIRICAL STUDIES OF STRUCTURAL CREDIT RISK MODELS AND THE APPLICATION IN DEFAULT PREDICTION: REVIEW AND NEW EVIDENCE

DOI10.1142/S0219622009003703zbMath1186.91233MaRDI QIDQ5305098

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

Publication date: 19 March 2010

Published in: International Journal of Information Technology & Decision Making (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimation (MLE)structural credit risk modeldefault predictionestimation approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

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