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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
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| Subjects: | |
| 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 |