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

dc.contributor.authorRodríguez, Abelspa
dc.contributor.authorter Horst, Enriquespa
dc.contributor.authorMalone, Samuel W.spa
dc.date.accessioned2023-06-21T22:23:10Z
dc.date.available2023-06-21T22:23:10Z
dc.date.issued2015
dc.identifier.issn1479-8409
dc.identifier.urihttp://hdl.handle.net/10726/5122
dc.language.isoeng
dc.publisherOxford University Press
dc.titleBayesian inference for a structural credit risk model with stochastic volatility and stochastic interest rateseng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.rights.localAcceso Restringido
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishWe 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 likelihood approaches and the importance of taking into account parameter uncertainty documented in the literature. We solve the nontrivial computational problem of contingent claim valuation in our set-up by using a Taylor series approximation to the expectation of the claim payoffs under the risk-neutral measure. Finally, we illustrate our model and compare it against the Merton model with real data on a nonfinancial firm (Ford Motor Company) and three financial firms (Citigroup, Goldman Sachs, and Lehman Brothers) during the recent financial crisis.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume13
dc.relation.citationissue4
dc.relation.citationstartpage839
dc.relation.citationendpage867
dc.contributor.orcidRodríguez, Abel [0000-0001-5503-7394]
dc.contributor.orcidter Horst, Enrique [0000-0001-5153-1475]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopusRodríguez, Abel [25628833600]
dc.contributor.scopuster Horst, Enrique [25655619900]
dc.contributor.scopusMalone, Samuel W. [35213559100]
dc.description.orcidhttps://orcid.org/0000-0001-5503-7394
dc.description.orcidhttps://orcid.org/0000-0001-5153-1475
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=25628833600
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=25655619900
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=35213559100
dc.identifier.eissn1479-8417
dc.relation.ispartofjournalJournal of Financial Econometrics
dc.identifier.doihttps://doi.org/10.1093/jjfinec/nbu018
dc.subject.proposalEconometrics
dc.subject.proposalInvestment Banking
dc.subject.proposalVenture Capital
dc.subject.proposalBrokerage
dc.subject.proposalRatings Agencies
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/


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