Advanced search options

Advanced Search Options 🞨

Browse by author name (“Author name starts with…”).

Find ETDs with:

in
/  
in
/  
in
/  
in

Written in Published in Earliest date Latest date

Sorted by

Results per page:

You searched for subject:(Intensity of default). One record found.

Search Limiters

Last 2 Years | English Only

No search limiters apply to these results.

▼ Search Limiters


Penn State University

1. Otero, Karina Vanesa. On Econometrics with Flexible Assumptions for Asset Pricing and Discrete Choice Models.

Degree: 2016, Penn State University

Chapter 1 proposes a new approach to estimate general stationary diffusion processes that describe the evolution of unobserved arrival rates of credit events on sovereign bonds, allowing for arbitrary parametric drift and diffusion specifications. The solutions and transition processes for stationary diffusions are generally unknown in closed form and therefore standard maximum likelihood methods do not apply. Moreover, the arrival rates of credit events on sovereign bonds are unobservable and a direct nonparametric estimation does not work. Chapter 1 overcomes these challenges combining a semi-nonparametric estimator in the framework of the Efficient Method of Moments, and a reduced-form model for pricing sovereign bonds and credit default swaps. The application for Brazil sovereign assets explores the performance of the model under different specifications of the intensity process. Chapter 2 proves a nonparametric identification result for a stochastic dynamic discrete-choice game of incomplete information. The joint distribution of the private information and the stage game payoffs of the players are both assumed unknown for the econometrician and the private information across alternatives is allowed to have different distributions and be dependent. This setup poses a circularity problem in the identification strategy that has not been solved for dynamic games. Chapter 2 proposes a solution through exclusion restrictions and implied properties of the unknown functions. Under the assumptions that the distribution of the private shocks for the outside option is known and the outside option's shocks are independent of other shocks, the results jointly identify the stage game payoffs and the joint distribution of the private information. Chapter 3 proposes a new nonparametric identification strategy for static multiple choice models with random heterogeneity in unobservables. The strategy relies on functional properties of the sub-utilities and the distribution of the unobservables, a known payoff function for the “outside option” and exclusion restrictions for all but one alternative. This new strategy does not transform the multiple choice model into a set of binary models, does not need “special regressors”, additive separability on observables or differentiability conditions. Some ideas for this new identification strategy are borrowed from a theorem published in 1993 that intended to identify all the sub-utility functions but one and also the distribution of the shocks in differences. However, the proof of this published theorem is incorrect and (to the best of my knowledge) this chapter is the first literature pointing this out and providing a new proof of a different version of the theorem after modifications of its assumptions. Advisors/Committee Members: Andrew Ronald Gallant, Dissertation Advisor/Co-Advisor.

Subjects/Keywords: Intensity of default; Sovereign bonds; Efficient Method of Moments (EMM); Semi-nonparametric (SNP) econometrics; Hermite; Latent variables; Estimation of stochastic differential equations; Estimation of diffusions; Asset pricing; Numerical methods for partial differential equations; Credit risk; Cox process; Credit derivatives; Credit Default Swaps (CDS); Nonparametric identification; dynamic multinomial choice games; Dynamic Markov game; Markov decision processes; Multiple choice models; Econometric Identification; Incomplete information; Dynamic discrete choice; Discrete decision process; Decision model.; Dynamic multinomial choice games; Decision model

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Otero, K. V. (2016). On Econometrics with Flexible Assumptions for Asset Pricing and Discrete Choice Models. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/b8515n370

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Otero, Karina Vanesa. “On Econometrics with Flexible Assumptions for Asset Pricing and Discrete Choice Models.” 2016. Thesis, Penn State University. Accessed October 24, 2020. https://submit-etda.libraries.psu.edu/catalog/b8515n370.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Otero, Karina Vanesa. “On Econometrics with Flexible Assumptions for Asset Pricing and Discrete Choice Models.” 2016. Web. 24 Oct 2020.

Vancouver:

Otero KV. On Econometrics with Flexible Assumptions for Asset Pricing and Discrete Choice Models. [Internet] [Thesis]. Penn State University; 2016. [cited 2020 Oct 24]. Available from: https://submit-etda.libraries.psu.edu/catalog/b8515n370.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Otero KV. On Econometrics with Flexible Assumptions for Asset Pricing and Discrete Choice Models. [Thesis]. Penn State University; 2016. Available from: https://submit-etda.libraries.psu.edu/catalog/b8515n370

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.