Corporate credit risk prediction under stochastic volatility and jumps
type: Item
instance of: scholarly article
title: Corporate credit risk prediction under stochastic volatility and jumps
zbMATH Open document ID: 1402.91840
author: Di Bu
author: Yin Liao
publication date: 2018-11-02T00:00:00Z
full work available at URL: 77848a.pdf
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 6971129
zbMATH Keywords: credit risk
zbMATH Keywords: CDS spread
zbMATH Keywords: Merton model
zbMATH Keywords: stochastic volatility
zbMATH Keywords: jumps
MaRDI profile type: Publication
OpenAlex ID: W2030429553
cites work: Estimating the structural credit risk model when equity prices are contaminated by trading noises
cites work: Efficient learning via simulation: a marginalized resample-move approach
cites work: Bayesian analysis of structural credit risk models with microstructure noises
DOI: 10.1016/J.JEDC.2014.08.006
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6971129