Credit Risk and Nonlinear Filtering: Computational Aspects and Empirical Evidence
<p>This thesis proposes a novel credit risk model which deals with incomplete information on the firm's asset value. Such incompleteness is due to reporting bias deliberately introduced by insider managers and executives of the firm and unobserved by outsiders.</p> <p>The p...
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| Format: | Others |
| Language: | en |
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2009
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| Online Access: | https://thesis.library.caltech.edu/2178/1/thesis.pdf Capponi, Agostino (2009) Credit Risk and Nonlinear Filtering: Computational Aspects and Empirical Evidence. Dissertation (Ph.D.), California Institute of Technology. doi:10.7907/7XV3-9Q45. https://resolver.caltech.edu/CaltechETD:etd-05272009-141742 <https://resolver.caltech.edu/CaltechETD:etd-05272009-141742> |
Internet
https://thesis.library.caltech.edu/2178/1/thesis.pdfCapponi, Agostino (2009) Credit Risk and Nonlinear Filtering: Computational Aspects and Empirical Evidence. Dissertation (Ph.D.), California Institute of Technology. doi:10.7907/7XV3-9Q45. https://resolver.caltech.edu/CaltechETD:etd-05272009-141742 <https://resolver.caltech.edu/CaltechETD:etd-05272009-141742>