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

Abstract

We study the statistical properties of the maximum likelihood estimator (MLE) accounting for survivorship bias for models based on the first-passage of the geometric Brownian motion. We find that neglecting the survivorship... [ view full abstract ]

Authors

  1. Diego Amaya (Wilfrid Laurier University)
  2. Mathieu Boudreault (Université du Québec à Montréal)
  3. Don McLeish (University of Waterloo)

Topic Areas

Credit Risk , Calibration , Econometrics

Session

TU-P-BU » Econometrics (14:30 - Tuesday, 17th July, Burke Theater)

Presentation Files

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