Bayesian Estimation of Time-Changed Default Intensity Models
Year of publication: |
2015-01-06
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Authors: | Gordy, Michael B. ; Szerszen, Pawel J. |
Institutions: | Federal Reserve Board (Board of Governors of the Federal Reserve System) |
Subject: | Bayesian estimation | CDS | CIR process | credit derivatives | MCMC | particle filter | stochastic time change |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Finance and Economics Discussion Series Number 2015-2 47 pages |
Other identifiers: | 10.17016/FEDS.2015.002 [DOI] |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; c58 ; G12 - Asset Pricing ; G17 - Financial Forecasting |
Source: |
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Bayesian Estimation of Time-Changed Default Intensity Models
Gordy, Michael B., (2015)
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Ledenyov, Dimitri O., (2014)
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