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On absolutely continuous compensators and nonlinear filtering equations in default risk models
Azema supermartingale default indicator absolutely continuous compensators pricing of default risk nonlinear filtering
2012/6/5
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Mar...
CREDIT RISK AND INCOMPLETE INFORMATION:: FILTERING AND EM PARAMETER ESTIMATION
contagion Default risk EM algorithm extended Kalman filter factor models partial information
2011/9/2
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 def...
IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods
Business cycles impulse response filters frequency domain autoregressive models
2010/9/7
An account is given of various filtering procedures that have been implemented in a computer program, which can be used in analysing econometric time series. The program provides some new filtering pr...
IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods
Business cycles impulse response filters frequency domain autoregressive models
2010/9/7
An account is given of various filtering procedures that have been implemented in a computer program, which can be used in analysing econometric time series. The program provides some new filtering pr...
Explicit Computations for a Filtering Problem with Point Process Observations with Applications to Credit Risk
Filtering Problem Applications Credit Risk
2010/12/13
We consider the intensity-based approach for the modeling of default times of one or more companies. In this approach the default times are defined as the jump times of a Cox process, which is a Poiss...