Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises

• 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
• Institution: Singapore Management University

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...