0 of 0       
Essec\Faculty\Model\Contribution {#2233 ▼
  #_index: "academ_contributions"
  #_id: "10122"
  #_source: array:26 [
    "id" => "10122"
    "slug" => "10122-estimating-the-structural-credit-risk-model-when-equity-prices-are-contaminated-by-trading-noises 10122-estimating-the-structural-credit-risk-model-when-equity-prices-are-contaminated-by-trading-noi "
    "yearMonth" => "2006-10"
    "year" => "2006"
    "title" => "Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises"
    "description" => "JIN-CHUAN, D. et FULOP, A. (2006). <i>Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises</i>. JIN-CHUAN, D. et FULOP, A. (2006). <i>Estimating the Structural Credit Risk Model When Equity Prices "
    "authors" => array:2 [
      0 => array:3 [
        "name" => "FULOP Andras"
        "bid" => "B00072302"
        "slug" => "fulop-andras"
      ]
      1 => array:1 [
        "name" => "JIN-CHUAN Duan"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:5 [
      0 => "Credit Risk"
      1 => "Maximum Likelihood"
      2 => "Microstructure"
      3 => "Option Pricing"
      4 => "Particle Filtering"
    ]
    "updatedAt" => "2021-07-13 14:31:27"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => null
      "en" => null
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Ce papier étend la méthode proposée par Duan (1994) concernant l'estimation des modèles de crédit, en incorporant la présence de bruits générés par les frictions du marché. Ce papier étend la méthode proposée par Duan (1994) concernant l'estimation des modèles de crédit, e "
      "en" => "The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function based on the observed equity prices can only be evaluated via some nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the structural credit risk model of Merton (1974). We implement the method on the Dow Jones 30 firms and on 100 randomly selected firms, and find that ignoring trading noises can lead to significantly over-estimating the firm's asset volatility. The estimated magnitude of trading noise is in line with the direction that a firm's liquidity will predict based on three common liquidity proxies. A simulation study is then conducted to ascertain the performance of the estimation method. The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models de "
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2025-04-11T01:21:50.000Z"
    "docTitle" => "Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises"
    "docSurtitle" => "Documents de travail"
    "authorNames" => "<a href="/cv/fulop-andras">FULOP Andras</a>, JIN-CHUAN Duan"
    "docDescription" => "<span class="document-property-authors">FULOP Andras, JIN-CHUAN Duan</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2006</span> <span class="document-property-authors">FULOP Andras, JIN-CHUAN Duan</span><br><span class="document "
    "keywordList" => "<a href="#">Credit Risk</a>, <a href="#">Maximum Likelihood</a>, <a href="#">Microstructure</a>, <a href="#">Option Pricing</a>, <a href="#">Particle Filtering</a> <a href="#">Credit Risk</a>, <a href="#">Maximum Likelihood</a>, <a href="#">Microstructure</a>, <a  "
    "docPreview" => "<b>Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises</b><br><span>2006-10 | Documents de travail </span> <b>Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises "
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises</a> <a href="#" target="_blank">Estimating the Structural Credit Risk Model When Equity Prices Are Conta "
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.654239
  +"parent": null
}