providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with infinite …

literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose … integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD …

structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads … are decreasing in GDP growth rate, but increasing in GDP growth volatility. We document that credit spreads are lower when … volatility raises credit spreads. More importantly, we demonstrate that the impact of market conditions on credit spreads is …

swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from …

estimation technique seems to matter as well. Other potential determinants - namely whether forecasters rely on a balanced or an …