Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Amaya, Diego; Boudreault, Mathieu; McLeish, Don L.

doi:10.1016/j.jedc.2018.11.005

Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Type de ressource

Auteurs/contributeurs

Amaya, Diego (Auteur)
Boudreault, Mathieu (Auteur)
McLeish, Don L. (Auteur)

Titre

Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Publication

Journal of Economic Dynamics and Control

Date

03/2019

Volume

100

Pages

297-313

Abrév. de revue

Journal of Economic Dynamics and Control

DOI

10.1016/j.jedc.2018.11.005

URL

https://linkinghub.elsevier.com/retrieve/pii/S0165188919300028

Consulté le

2024-10-23 18 h 29

ISSN

01651889

Langue

en

Catalogue de bibl.

DOI.org (Crossref)

Référence

Amaya, D., Boudreault, M., & McLeish, D. L. (2019). Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias. Journal of Economic Dynamics and Control, 100, 297–313. https://doi.org/10.1016/j.jedc.2018.11.005

Auteur·e·s

Boudreault, Mathieu

Lien vers cette notice

http://bibliographies.uqam.ca/escer/bibliographie/DMWPFU7T