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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
An Intensity-based Approach for Equity Modeling 
Abstract:
This paper analyzes an intensity based approach for equity modeling. We use the Cox-Ingersoll-Ross (CIR) process to describe the intensity of the firm's default process. The intensity is purposely linked to the assets of the firm and consequently is also used to explain the equity. We examine two different approaches to link assets and intensity and derive closed-form expressions for the firms' equity in both models. We use the Kalman filter to estimate the parameters of the unobservable intensi...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Applied Stochastic Models in Business and Industry 
Year:
2011 
Journal volume:
27 
Journal issue:
Pages contribution:
676-690 
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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