Credit risk and incomplete information: linear filtering and EM parameter estimation
نویسنده
چکیده
We consider a reduced-form credit risk model where default intensity and interest rate are linear functions of a not fully observable Markovian factor process. We determine arbitragefree prices of OTC products coherently with information from the financial market, in particular yields and credit spreads and this can be accomplished via a linear filtering approach coupled with an EM -algorithm for parameter estimation.
منابع مشابه
Credit risk and incomplete information: filtering and EM parameter estimation
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven default contagion effect among defaults of different issuers. We determine arbitrage-free prices of OTC products coherently with information from the financial market, in particular yields and credit ...
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تاریخ انتشار 2008