Browsing Statistics and Actuarial Science by Author "Amaya, Diego"
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Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
Amaya, Diego; Boudreault, Mathieu; McLeish, Don L. (Elsevier, 2019-03)The survivorship bias in credit risk modeling is the bias that results in parameter estimates when the survival of a company is ignored. We study the statistical properties of the maximum likelihood estimator (MLE) accounting ...