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| An Alternative Method for Testing Credit Risk Models by Iain Maclachlan of the University of Melbourne October 20, 2000 Abstract: This paper proposes a method to empirically fit structural models of the credit spread using a Kalman filter method that a) accommodates time varying parameters, b) can simultaneously nest competing theoretical models, c) have broad application to other areas of finance where price processes are functions of the latent value of the firm. Download paper (134K PDF) 16 pages
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