Maximum Likelihood Estimate of Default Correlations
Year of publication: |
2007
|
---|---|
Authors: | Demey, Paul ; Jouanin, Jean-Frédéric ; Roget, Céline ; Roncalli, Thierry |
Publisher: |
[S.l.] : SSRN |
Subject: | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Kreditrisiko | Credit risk | Korrelation | Correlation |
-
Multi-factor default correlation model estimation : enhancement with bootstrapping
Yang, Zhihui, (2024)
-
Estimation of correlations in portfolio credit risk models based on noisy security prices
Boudreault, Mathieu, (2015)
-
Correlated Default Processes : A Criterion-Based Copula Approach
Das, Sanjiv Ranjan, (2009)
- More ...
-
Demey, Paul, (2004)
-
Demey, Paul, (2011)
-
Financial applications of copula functions
Jouanin, Jean-Frédéric, (2004)
- More ...