Multidimensional Structural Credit Modeling under Stochastic Volatility

Table 1

Recovering the parameters with different values for 𝜌 (with Θ⁽¹⁾).

(a)  

True parameter	𝜇	𝑣∞	𝜅𝑣	𝜀𝑣
	0.0500	0.0100	0.7500	0.1000
Mean	0.0572	0.0095	0.9746	0.1146
std.	0.0126	0.0029	0.3754	0.0378
5% quantile	0.0382	0.0056	0.4592	0.0714
Median	0.0561	0.0090	0.9109	0.1094
95 quantile	0.0795	0.0148	1.5999	0.1846

(b)  

True parameter			𝜌
	−0.5000	−0.2500	0.0000	0.2500	0.5000	0.7500
Mean	−0.4916	−0.2457	0.0004	0.2467	0.4933	0.7398
std.	0.0283	0.0176	0.0121	0.0179	0.0285	0.0404
5% quantile	−0.5384	−0.2753	−0.0199	0.2192	0.4490	0.6788
Median	−0.4904	−0.2449	0.0002	0.2453	0.4906	0.7372
95 quantile	−0.4474	−0.2191	0.0211	0.2770	0.5429	0.8092