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相合伪极大似然估计量与变换群AI 解读

In a transformation model yt=c[a(xt,β),ut], where the errors ut are i.i.d. and independent of the explanatory variables xt, the parameters can be estimated by a pseudo‐maximum likelihood (PML) method, that is, by using a misspecified distribution of the errors, but the PML estimator of β is in general not consistent. We explain in this paper how to nest the initial model in an identified augmented model with more parameters in order to derive consistent PML estimators of…

违约事件定价：意外、外生性与传染AI 解读

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the default-event surprise, is neglected. Our paper develops an approach to get closed-form expressions for the prices of credit derivatives written on multiple names without neglecting…