Default risk in bond and credit derivatives markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin u.a.
Springer
2004
|
| Series: | Lecture notes in economics and mathematical systems
543 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 135 S. graph. Darst. |
| ISBN: | 3540220410 |
Staff View
MARC
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| 100 | 1 | |a Benkert, Christoph |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Default risk in bond and credit derivatives markets |c Christoph Benkert |
| 264 | 1 | |a Berlin u.a. |b Springer |c 2004 | |
| 300 | |a IX, 135 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Lecture notes in economics and mathematical systems |v 543 | |
| 502 | |a Zugl.: Frankfurt (Main), Univ., Diss. | ||
| 650 | 4 | |a Instruments dérivés de crédit | |
| 650 | 4 | |a Obligations (Valeurs) | |
| 650 | 7 | |a Termijnhandel |2 gtt | |
| 650 | 4 | |a Bonds | |
| 650 | 4 | |a Credit derivatives | |
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| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kreditderivat |0 (DE-588)7660453-6 |2 gnd |9 rswk-swf |
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Record in the Search Index
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|---|---|
| adam_text | Contents
1
2
2.1
2.2
2.3
2.3.1
2.3.2
2.3.3
2.4
2.5
3
3.1
3.2
3.3
3.4
3.4.1
3.4.2
3.5
3.6
3.7 Affine
Risk
3.7.1
VIII
3.7.2
Factors
3.7.3
Risky Rates
3.7.4
3.8
4
Models of Default Risk
4.1
4.1.1
4.1.2
4.1.3
4.1.4
4.2
Models for Defaultable Rates
4.2.1
4.2.1.1
4.2.1.2
4.2.1.3 Kaiman
4.2.2
4.2.3
4.2.3.1
4.2.3.2
4.2.3.3
4.3
Models for Spreads
4.3.1
4.3.2
4.3.2.1
4.3.2.2
4.3.2.3
4.4
4.4.1
4.4.2
Contents
4.4.2.1 In- and Out-of-Sample Fit.............. 75
4.4.2.2 Parameter
4.5
for Defaultable Rates
4.5.1
Moments
4.5.2
4.5.3
4.5.3.1
4.5.3.2
4.6
5
5.1
5.2
5.3
5.4
5.5
5.6
6
Appendix
A Calculation of Volatility Proxies
B Tables for Chapter
C Tables for Chapter
References
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| indexdate | 2024-07-09T19:58:42Z |
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| isbn | 3540220410 |
| language | English |
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| series2 | Lecture notes in economics and mathematical systems |
| spelling | Benkert, Christoph Verfasser aut Default risk in bond and credit derivatives markets Christoph Benkert Berlin u.a. Springer 2004 IX, 135 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 543 Zugl.: Frankfurt (Main), Univ., Diss. Instruments dérivés de crédit Obligations (Valeurs) Termijnhandel gtt Bonds Credit derivatives Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditderivat (DE-588)7660453-6 s DE-604 Derivat Wertpapier (DE-588)4381572-8 s Kreditrisiko (DE-588)4114309-7 s DE-188 Lecture notes in economics and mathematical systems 543 (DE-604)BV000000036 543 Digitalisierung UBRegensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012833443&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Benkert, Christoph Default risk in bond and credit derivatives markets Lecture notes in economics and mathematical systems Instruments dérivés de crédit Obligations (Valeurs) Termijnhandel gtt Bonds Credit derivatives Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4114309-7 (DE-588)7660453-6 (DE-588)4113937-9 |
| title | Default risk in bond and credit derivatives markets |
| title_auth | Default risk in bond and credit derivatives markets |
| title_exact_search | Default risk in bond and credit derivatives markets |
| title_full | Default risk in bond and credit derivatives markets Christoph Benkert |
| title_fullStr | Default risk in bond and credit derivatives markets Christoph Benkert |
| title_full_unstemmed | Default risk in bond and credit derivatives markets Christoph Benkert |
| title_short | Default risk in bond and credit derivatives markets |
| title_sort | default risk in bond and credit derivatives markets |
| topic | Instruments dérivés de crédit Obligations (Valeurs) Termijnhandel gtt Bonds Credit derivatives Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Instruments dérivés de crédit Obligations (Valeurs) Termijnhandel Bonds Credit derivatives Derivat Wertpapier Kreditrisiko Kreditderivat Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012833443&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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