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...
- 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
- Rights
- License
- Acceso Restringido