Nonlinear Filtering and Market Implied Rating for a Jump-diffusion Structural Model of Credit Risk

Alaa El-Shazly

Chapter 4 in Econometric Methods and Their Applications in Finance, Macro and Related Fields, 2014, pp 81-101 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionThe ModelSequential Parameter and State EstimationSimulation StudyConclusionReferences

Keywords: Financial Econometrics; Applied Econometrics; Econometric Theory and Methods (search for similar items in EconPapers)
Date: 2014
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