Multidimensional Structural Credit Modeling under Stochastic Volatility

Table 3

Recovering the parameters with different values for 𝜌.

True parameter			𝜌
	−0.5000	−0.2500	0.0000	0.2500	0.5000	0.7500
Mean	−0.4945	−0.2470	0.0004	0.2481	0.4956	0.7431
std.	0.0181	0.0135	0.0118	0.0138	0.0186	0.0249
5% quantile	−0.5243	−0.2697	−0.0196	0.2261	0.4674	0.7046
Median	−0.4944	−0.2467	0.0006	0.2476	0.4951	0.7424
95 quantile	−0.4654	−0.2251	0.0199	0.2716	0.5271	0.7854