Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises

Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov c...

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Bibliographic Details
Main Authors: HUANG, Shirley J., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
MCMC
Credit risk
Microstructure noise
Structural models
Deviance information criterion
Applied Statistics
Econometrics
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/1154
https://ink.library.smu.edu.sg/context/soe_research/article/2153/viewcontent/Bayesian_Analysis_of_Structural_Credit_Risk_Models_2009_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1154
https://ink.library.smu.edu.sg/context/soe_research/article/2153/viewcontent/Bayesian_Analysis_of_Structural_Credit_Risk_Models_2009_wp.pdf

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