Statistical Inference on the Default Pro
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Yong ZHOU; Shangyu XIE; Yuan YUAN
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Article
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2008
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Elsevier
β 241 KB
Reduced form model is one of the most popular models for studying credit risks. The key parameter in these models is the default probability. Under the assumption that default is exogenous, it is quite easy to compute the default probability through a statistical model. In this article, we argue tha