Firm-specific credit risk estimation in the presence of regimes and noisy prices

Jean-François Bégin, Mathieu Boudreault and Geneviève Gauthier

Finance Research Letters, 2017, vol. 23, issue C, 306-313

Abstract: Security prices are important inputs for estimating credit risk. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable model and a methodology that filters the elements unrelated to the firm’s fundamentals from market prices.

Keywords: Credit risk; Maximum likelihood estimation; Regime-switching; Filtering; Noisy prices (search for similar items in EconPapers)
JEL-codes: C51 C58 G01 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317301769
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:306-313

DOI: 10.1016/j.frl.2017.08.005

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().