Multidimensional Structural Credit Modeling under Stochastic Volatility

Table 2

Recovering the parameters with different values for 𝜌 (with Θ⁽²⁾).

(a)  

True parameter	𝜇	𝑣∞	𝜅𝑣	𝜀𝑣
	0.0750	0.0400	1.5000	0.2500
Mean	0.0969	0.0396	1.7593	0.2434
std.	0.0244	0.0053	1.2981	0.1074
5% quantile	0.0603	0.0316	0.3797	0.1192
Median	0.0946	0.0393	1.3887	0.2138
95 quantile	0.1408	0.0490	4.7672	0.5045

(b)  

True parameter			𝜌
	−0.5000	−0.2500	0.0000	0.2500	0.5000	0.7500
Mean	−0.4976	−0.2487	0.0006	0.2498	0.4989	0.7480
std.	0.0133	0.0117	0.0113	0.0117	0.0133	0.0164
5% quantile	−0.5202	−0.2681	−0.0177	0.2309	0.4779	0.7221
Median	−0.4972	−0.2486	0.0009	0.2497	0.4987	0.7476
95 quantile	−0.4770	−0.2300	0.0189	0.2693	0.5211	0.7757