Browsing Artículos y borradores de administración – Working papers by Subject "Ratings Agencies"
Now showing items 1-1 of 1
-
Bayesian inference for a structural credit risk model with stochastic volatility and stochastic interest rates
(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 ...