The Credit Risk Pricing with Particle Filter Approach

DOI

10.2991/jcis.2006.62How to use a DOI?

Keywords

Particle Filter, Sequential Monte Carlo, Credit Risk, Distance to Default.

Abstract

Traditional evaluation of firm’s market value in credit risk analysis could be contaminated by market noises. The purpose of this article is to price the credit risk in the distance to default with particle filter approach. Compared to the traditional methods, the estimate of the distance to default could be evaluated precisely. Another finding is that the inflation of variation in firm’s value caused by the market noises could be reduced.

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Her-Jiun Sheu
AU  - Chih-Liang Liu
PY  - 2006/10
DA  - 2006/10
TI  - The Credit Risk Pricing with Particle Filter Approach
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.62
DO  - 10.2991/jcis.2006.62
ID  - Sheu2006/10
ER  -