A Generalized Endogenous Grid Method for Default Risk Models
We extend the endogenous grid method to default risk models, which is faster and more accurate than grid search. Our method is 4 to 27 times faster and provides a more accurate bond price function, resulting in substantial differences in the predictions of the canonical sovereign debt model. When ap...
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| Veröffentlicht in: | Journal of money, credit and banking credit and banking, 2024-11 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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