Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

The Credit Risk Pricing with Particle Filter Approach

Authors
Her-Jiun Sheu1, Chih-Liang Liu
1National Chiao Tung University
Corresponding Author
Her-Jiun Sheu
Available Online October 2006.
DOI
https://doi.org/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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Volume Title
Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
Series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.62How to use a DOI?
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/).

Cite this article

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  - https://doi.org/10.2991/jcis.2006.62
ID  - Sheu2006/10
ER  -