Tae Yeon Kwon
Tae Yeon Kwon is a Research Professor at the Institute for Economic Research at Korea University, Seoul, Republic of Korea. She has a Ph.D in Statistics from Harvard University. Her research interest covers credit risk model, Bayesian estimation, missing imputation.
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A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
Using historical equity and credit market data, this paper illustrates the validation of a structural correlated default model applied to Black–Cox setups.