The Credit Risk Pricing with Particle Filter Approach
نویسندگان
چکیده
Traditional evaluation of firm’s market value in credit risk analysis could be contaminated by market noises. The purpose of this article is to price the credit risk in the distance to default with particle filter approach. Compared to the traditional methods, the estimate of the distance to default could be evaluated precisely. Another finding is that the inflation of variation in firm’s value caused by the market noises could be reduced.
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