Default Risk in Bond and Credit Derivatives Markets

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising specifications is tested using corporate bond data. The book provides one of the most comprehensive empirical studies in the field, from Kalman filtration of affine term structure models to the use of Efficient Method of Moments estimation of dynamic term structure models in a default risky context. Filling another gap in empirical research, the book devotes special attention to the identification factors that can explain credit default swap premia.

Dettagli sul prodotto

• Autori: Christoph Benkert
• Editore: Springer, Berlin
• Contenuto: Libro
• Forma del prodotto: Tascabile
• Data pubblicazione: 05.08.2004
• Categoria: Scienze sociali, diritto, economia > Economia > Economia politica
• EAN: 9783540220411
• ISBN: 978-3-540-22041-1
• Numero di pagine: 135
• Illustrazioni: IX, 135 p.
• Altezza (della confezione): 23.5 cm
• Peso (della confezione): 234 g
• Serie: Lecture Notes in Economics and Mathematical Systems > 543
• Categorie: Finanzmathematik, C, Ökonometrie und Wirtschaftsstatistik, Finance, Angewandte Mathematik, Mathematik / Finanzmathematik, macroeconomics, Modeling, Finance, general, Economics and Finance, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Finance & accounting, Financial Economics, Monetary Economics, Economics, Mathematical, Quantitative Finance, Mathematics in Business, Economics and Finance, Econometrics & economic statistics, Econometrics, Finanzenwesen und Finanzindustrie, quantitativefinance, Creditrisk, CreditDerivatives, defaultrisk, AffineTermStructureModels, EfficientMethodofMoments