以下是教材书后题一段描述
First, historical estimation of inputs is a problem if any of the assets of the firm do not trade in frictionless markets and we cannot observe their values. Second, implicit estimation, the other way to obtain inputs for structural models, also has its flaws. If the assumptions of the models used to obtain the implicit estimates are not reasonable approximations of the market’s actual structure, it can cause errors in the estimates of the probability of default and the expected loss.”
(Institute 245)
Institute, CFA. 2018 CFA Program Level II Volume 5 Fixed Income and Derivatives. CFA Institute, 07/2017. VitalBook file.
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问题在于第二条提到，估计参数违约概率和预期损失，我记得这个模型因为实际上资产不能交易，所以历史参数估计法是不能用的，所以要用bsm模型来估计，但具体是估计哪个参数？是波动率、利率还是违约概率？谢谢！
