برآورد ریسک اعتبار ویژه شرکت در حضور رژیم ها و قیمت های پر سر و صدا

In this article, we introduce a hybrid credit risk model defined in a Markov-switching environment. It captures firm-specific changes in the leverage uncertainty during crises. We also propose a new efficient method to estimate the model, and a numerical scheme based on trinomial lattices to price credit derivatives. The estimation is finally performed on more than 200 firms using maximum likelihood estimation.