Signature-Based Structural Models and Applications in Credit Markets
The study develops a time-varying signature asset model for structural credit that improves calibration across CDS maturities and equity option prices, especially for high-yield firms.
Featured in No. 132 on 25 Sep 2026 · 3 days after release
- Released
- 22 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7498599
- Authors
- Matthias Arnsdorf et al.
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