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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
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Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:306-313