Credit Risk Modeling under Conditional Volatility
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More about this item
Keywords
Credit risk; Merton model; conditional volatility; default probability; stylized facts;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-05-04 (Banking)
- NEP-RMG-2014-05-04 (Risk Management)
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