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.
Default Risk in Bond and Credit Derivatives Markets
RRP:
$122.00
Description
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.
This Palgrave Pivot assesses the impact of the regulatory framework for derivatives built post-crisis and examines its ambition to centralize and minimize credit risk, enhance transparency, and...
Foreword - PART 1: DERIVATIVES AND RISK - Introduction - Classification and Quantification of Credit Risk - PART 2: THE CREDIT RISK OF COMPLEX OPTIONS - Quantifying Option Credit Risk - The Credit...
Inhaltsangabe:Abstract:Banks are financial intermediaries originating loans and consequently facing credit risk. Credit risk can be defined as the risk of losses caused by the default or by the...
The BiblioGov Project is an effort to expand awareness of the public documents and records of the U.S. Government via print publications. In broadening the public understanding of government and its...
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