Numerical Simulation, Calibration and Recover of Credit Boundary

Jin Liang and Bei Hu
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Jin Liang: Tongji University, School of Mathematical Science
Bei Hu: University of Notre Dame, Applied and Computational Mathematics and Statistics

Chapter Chapter 10 in Credit Rating Migration Risks in Structure Models, 2024, pp 251-277 from Springer

Abstract: Abstract The power of mathematical models lies in their ability to explain and predict real world phenomena. In order to reach its full potential, calibration, simulation, and parameters recovery are necessary. In previous chapters, we formulated the theoretical foundation on these models, where we have already shown some numerical results. In this chapter, we focus more on the numerical methods, calibration and empirical examples for our model.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-97-2179-5_10

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DOI: 10.1007/978-981-97-2179-5_10

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