Browsing Artículos y borradores de administración – Working papers by Author "Malone, Samuel W."
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Bayesian inference for a structural credit risk model with stochastic volatility and stochastic interest rates
Rodríguez, Abel; ter Horst, Enrique; Malone, Samuel W. (Oxford University Press, 2015)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 ...