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Title:

An Intensity-based Approach for Equity Modeling

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar, M.; Friederich, T.; Krayzler, M.; Seco, L.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
6
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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