The Regime-Switching Structural Default Risk Model

The Regime-Switching Structural Default Risk Model

We develop the regime-switching default risk (<i>RSDR</i>) model as a generalization of Merton’s default risk (<i>MDR</i>) model. The <i>RSDR</i> model supports an expanded range of asset probability density functions. First, we show using simulation that the <...

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Bibliographic Details
Main Authors: Andreas Milidonis, Kevin Chisholm
Format: Article
Language:English
Published: MDPI AG 2024-03-01
Series:Risks
Subjects:
default risk
regime switching
bond ratings
MLE
Online Access:https://www.mdpi.com/2227-9091/12/3/48

Internet

https://www.mdpi.com/2227-9091/12/3/48

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