The Credit Risk Pricing with Particle Filter Approach
Her-Jiun Sheu1, Chih-Liang Liu
1National Chiao Tung University
Available Online October 2006.
- 10.2991/jcis.2006.62How to use a DOI?
- Particle Filter, Sequential Monte Carlo, Credit Risk, Distance to Default.
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.
- © 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 - 10.2991/jcis.2006.62 ID - Sheu2006/10 ER -