Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator

@article{Deo2017CreditRS,
  title={Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator},
  author={Anand Deo and S. Juneja},
  journal={Econometric Modeling: Capital Markets - Risk eJournal},
  year={2017}
}
  • Anand Deo, S. Juneja
  • Published 2017
  • Economics
  • Econometric Modeling: Capital Markets - Risk eJournal
We consider discrete default intensity based and logit type reduced form models for conditional default probabilities for corporate loans where we develop simple closed form approximations to the maximum likelihood estimator (MLE) when the underlying covariates follow a stationary Gaussian process. In a practically reasonable asymptotic regime where the default probabilities are small, say 1-3% annually, the number of firms and the time period of data available is reasonably large, we… Expand
1 Citations

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