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 specification...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2004
|
| Ausgabe: | 1st ed. 2004 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
543 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (IX, 135 p) |
| ISBN: | 9783642170393 |
| DOI: | 10.1007/978-3-642-17039-3 |
Internformat
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| spelling | Benkert, Christoph Verfasser aut Default Risk in Bond and Credit Derivatives Markets by Christoph Benkert 1st ed. 2004 Berlin, Heidelberg Springer Berlin Heidelberg 2004 1 Online-Ressource (IX, 135 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 543 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 Finance, general Econometrics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance Economics, Mathematical Macroeconomics Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Derivat Wertpapier (DE-588)4381572-8 s Kreditrisiko (DE-588)4114309-7 s DE-604 Kreditderivat (DE-588)7660453-6 s Erscheint auch als Druck-Ausgabe 9783540220411 Erscheint auch als Druck-Ausgabe 9783642170409 https://doi.org/10.1007/978-3-642-17039-3 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Benkert, Christoph Default Risk in Bond and Credit Derivatives Markets Finance, general Econometrics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance Economics, Mathematical Macroeconomics Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)7660453-6 (DE-588)4114309-7 (DE-588)4381572-8 (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_exact_search_txtP | Default Risk in Bond and Credit Derivatives Markets |
| title_full | Default Risk in Bond and Credit Derivatives Markets by Christoph Benkert |
| title_fullStr | Default Risk in Bond and Credit Derivatives Markets by Christoph Benkert |
| title_full_unstemmed | Default Risk in Bond and Credit Derivatives Markets by Christoph Benkert |
| title_short | Default Risk in Bond and Credit Derivatives Markets |
| title_sort | default risk in bond and credit derivatives markets |
| topic | Finance, general Econometrics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance Economics, Mathematical Macroeconomics Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Finance, general Econometrics Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Finance Economics, Mathematical Macroeconomics Kreditderivat Kreditrisiko Derivat Wertpapier Hochschulschrift |
| url | https://doi.org/10.1007/978-3-642-17039-3 |
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