Estimating Asset Parameters Using Levy’s Moment Matching Method
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More about this item
Keywords
Merton’s model; asset parameters; calibration method; moment matching method; asset correlation; joint probability of default; ; C02; C58; G13; G33;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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