Structural Credit Modeling Under Stochastic Volatility

Marcos Escobar; Tim Friederich; Mikhail Krayzler; Luis Seco; Rudi Zagst

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Structural Credit Modeling Under Stochastic Volatility

机译：随机波动性下的结构信贷建模

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This paper presents a structural credit model with underlying stochastic volatility, a CIR process, combining the Black/Cox framework with the Heston Model. We allow to calibrate a Heston Model for a non-observable process as underlying of the Black/Cox Model. A closed-form solution for the price of a down-and-out call option on the assets with the debt as barrier and strike price is derived using the concept of optional sampling. Furthermore, estimators are derived with the Method of Moments for Hidden Markov Chains. As an application in Statistical Finance, the default probabilities of Merrill Lynch during the financial crisis are examined.

机译：本文介绍了具有底层随机波动性的结构信用模式，CIR过程，将黑/ COX框架与HESTON模型相结合。我们允许校准以非易观察过程校准一个髋关节模型，如黑/ Cox模型的基础。使用可选采样的概念来源于债务和罢工价格的资产上的下降通话选项价格的封闭式解决方案。此外，估算器源于隐藏马尔可夫链的时刻方法。作为统计金融的申请，审查了金融危机期间美林林奇的违约概率。

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《International Journal of Statistics and Probability》 |2012年第1期|共16页
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Marcos Escobar; Tim Friederich; Mikhail Krayzler; Luis Seco; Rudi Zagst;
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中图分类概率论与数理统计;
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1. PARAMETER ESTIMATION FOR A DISCRETELY OBSERVED STOCHASTIC VOLATILITY MODEL WITH JUMPS IN THE VOLATILITY [J] . 数学年刊B辑（英文版） . 2003,第002期
2. Credit default swaps and stock prices： Further evidence of mean and volatility transmission using a GARCH-M model [J] . Nicholas Apergi, Andreas Lake 美中经济评论：英文版 . 2010,第011期
3. Pricing Credit Derivatives Under Fractional Stochastic Interest Rate Models with Jumps [J] . ZHANG Jiaojiao, BI Xiuchun, LI Rong, 系统科学与复杂性：英文版 . 2017,第003期
4. Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates [J] . Rodriguez Abel, Ter Horst Enrique, Malone Samuel Journal of Financial Econometrics . 2015,第4期

机译：具有随机波动率和随机利率的结构性信用风险模型的贝叶斯推断
5. A Structural Credit Risk Model with Stochastic Volatility and Jumps [J] . Guohe Deng, Boling Chen International Journal of Applied Mathematics & Statistics . 2014,第6期

机译：具有随机波动率和跳跃的结构性信用风险模型
6. Modeling credit spreads under multifactor stochastic volatility [J] . Jacinto Marabel Romo The Spanish Review of Financial Economics . 2014,第1期

机译：多因素随机波动下的信用利差建模
7. The Study on the Pricing of Credit Risk under the Fast Stochastic Volatility [C] . Shican Liu, Xiangyu Ge International Conference on Identification, Information and Knowledge in the Internet of Things . 2016

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8. Three essays in multivariate stochastic volatility: Multivariate stochastic volatility via Wishart random walks. Efficient frontier bounds under stochastic covariances. High dimensional factor multivariate stochastic volatility via Wishart random walks [D] . Philipov, Alexander. 2003

机译：多变量随机波动的三篇论文：通过Wishart随机散步多变量随机波动性。随机考律下的高效前沿界限。通过Wishart随机行走的高尺寸因子多变量随机波动率
9. Test data sets for calibration of stochastic and fractional stochastic volatility models [O] . Jan Pospíšil, Tomáš Sobotka 2016

机译：用于校准随机和分数随机波动率模型的测试数据集
10. Multidimensional Structural Credit Modeling under Stochastic Volatility [O] . Marcos Escobar, Tim Friederich, Luis Seco, 2013

机译：随机波动下的多维结构信用建模
11. Structural Vibration Modeling and Validation. Modeling Uncertainty and Stochastic Control for Structural Control [R] . Babuska, V. , Carter, D. , Lane, S. 2005

机译：结构振动建模与验证。结构控制的建模不确定性和随机控制

Structural Credit Modeling Under Stochastic Volatility

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