Three Essays on Credit Risk Models and Their Bayesian Estimation

Three Essays on Credit Risk Models and Their Bayesian Estimation

This dissertation consists of three essays on credit risk models and their Bayesian estimation. In each essay, defaults or default correlation models are built under one of two main streams. In our first essay, sequential estimation on hidden asset value and model parameters estimation are implemente...

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Bibliographic Details
Main Author: Kwon, Tae Yeon
Other Authors: Blyth, Stephen James
Language:en_US
Published: Harvard University 2012
Subjects:
CDO
CDS
statistics
finance
Bayesian estimation
credit risk model
equity
market noise
Online Access:http://dissertations.umi.com/gsas.harvard:10427
http://nrs.harvard.edu/urn-3:HUL.InstRepos:9288549

Internet

http://dissertations.umi.com/gsas.harvard:10427
http://nrs.harvard.edu/urn-3:HUL.InstRepos:9288549

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