Estimation of Term Structure of Defaultable Bonds Based on Kalman Filter Method
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the Term Structure of Defaultable Bond Interest Rates Has Always Been a Research Hotspot in the Field of Financial Engineering, and the Model Estimates Involved Are the Basis and Key Links. with the Characteristics of Easy Operation, High Stability, Fast and Accurate, Kalman Filtering Method Has a Great Application Prospect in the Estimation of the Term Structure of Defaultable Bond Interest Rates. in View of This, This Paper Deeply Analyzes the Research Status of the Term Structure Model of the Defaultable Bond Interest Rate, Which Refers to the Emergence of the Stage Interest Rate Term Structure Model Mainly Divided into Two Categories: the Equilibrium Model and the No-Arbitrage Model, and Analyze Their Respective Characteristics. in This Context, the Application Theory of Kalman Filter Estimation Method is Taken as the Entry Point, and the Specific Application of Kalman Filter Method in the Estimation of the Term Structure of Defaultable Bond Interest Rate is Analyzed, and the Corresponding Maximum Likelihood Function is Obtained.
Kalman Filtering Method; Interest Rate Term; Structure; Defaultable Bonds