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Default Risk in Bond and Credit Derivatives Markets (Lecture Notes in Economics and Mathematical Systems) [Paperback]

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Item description for Default Risk in Bond and Credit Derivatives Markets (Lecture Notes in Economics and Mathematical Systems) by Christoph Benkert...

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.





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Item Specifications...


Pages   135
Est. Packaging Dimensions:   Length: 9.1" Width: 6" Height: 0.4"
Weight:   0.45 lbs.
Binding  Softcover
Release Date   Sep 20, 2004
Publisher   Springer
ISBN  3540220410  
ISBN13  9783540220411  


Availability  109 units.
Availability accurate as of May 27, 2017 03:47.
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1Books > Special Features > Formats
2Books > Special Features > New & Used Textbooks > Business & Finance > Finance
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