Structural credit risk models with subordinated processes

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088581" target="_blank" >RIV/61989100:27510/13:86088581 - isvavai.cz</a>
Result on the web
<a href="http://www.hindawi.com/journals/jam/2013/138272/" target="_blank" >http://www.hindawi.com/journals/jam/2013/138272/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1155/2013/138272" target="_blank" >10.1155/2013/138272</a>

Result language
angličtina
Original language name
Structural credit risk models with subordinated processes
Original language description
We discuss structural models based on Merton's framework. First, we observe that the classical assumptions of the Merton model are generally rejected. Secondly, we implement a structural credit risk model based on stable non-Gaussian processes as a representative of subordinated models in order to overcome some drawbacks of the Merton one. Finally, following the KMV-Merton estimation methodology, we propose an empirical comparison between the results obtained from the classical KMV-Merton model and thestable Paretian one. In particular, we suggest alternative parameter estimation for subordinated processes, and we optimize the performance for the stable Paretian model.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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