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Showing 1 to 1 of 1 for “"Epstein-Zin preference"”.
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Credit Risk Pricing based on Epstein-Zin Preference
… framework for credit risk pricing in an Epstein-Zin setting. The default time is modeled as the first hitting time of a default boundary. Bond investors have imperfect information about the firm value which is unobservable. The state variables, consumption and volatility are modeled as …