Bayesian inference for a structural credit risk model with stochastic volatility and stochastic interest rates

We develop a novel structural credit risk model that extends the original Merton model by allowing for stochastic interest rates and stochastic volatility. The model is estimated using Bayesian methods implemented via a Markov chain Monte Carlo algorithm, in light of the demonstrable advantages of l...

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Autores:
Rodríguez, Abel
ter Horst, Enrique
Malone, Samuel W.
Tipo de recurso:
Article of investigation
Fecha de publicación:
2015
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5122
Acceso en línea:
http://hdl.handle.net/10726/5122
https://doi.org/10.1093/jjfinec/nbu018
Palabra clave:
Econometrics
Investment Banking
Venture Capital
Brokerage
Ratings Agencies
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Acceso Restringido