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. TOC:Introduction.- On the Economic Content of Models of Default Risk.- Intensity-based Modeling of Default.- The Empirical Performance of Reduced-Form Models of Default Risk.- Explaining Credit Default Swap Premia.- Conclusion.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- ISBN
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9783540220411
3540220410
- Dimensions
-
24 cm
- Extent
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IX, 135 S.
- Language
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Englisch
- Notes
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graph. Darst.
Zugl.: Frankfurt (Main), Univ., Diss.
- Bibliographic citation
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Lecture notes in economics and mathematical systems ; Vol. 543
- Classification
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Wirtschaft
- Keyword
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Kreditderivat
- Event
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Veröffentlichung
- (where)
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Berlin, Heidelberg, New York
- (who)
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Springer
- (when)
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2004
- Creator
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Benkert, Christoph
- Table of contents
- Rights
-
Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.
- Last update
-
11.06.2025, 2:08 PM CEST
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Benkert, Christoph
- Springer
Time of origin
- 2004
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Empirical essays on corporate bond and credit default swap markets
Valuation differences between credit default swap and corporate bond markets
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The Comovement of credit default swap, bond and stock markets : an empirical analysis
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Essays on credit default swap and futures markets
Financial Markets, Sovereign Default and Credit Rating Agencies
Credit default swap markets and credit risk pricing : a comparative study
Spread Risk Premia in Corporate Credit Default Swap Markets
Spread risk premia in corporate credit default swap markets
Credit Default Swap Regulation in Experimental Bond Markets
Empirical essays on corporate bond and credit default swap markets
Valuation differences between credit default swap and corporate bond markets
Credit risk contagion and arbitrage: Evidence from sovereign bond and credit default swap markets
The comovement of credit default swap, bond and stock markets: An empirical analysis
The Comovement of credit default swap, bond and stock markets : an empirical analysis
The comovement of credit default swap, bond and stock markets: an empirical analysis
Essays on credit default swap and futures markets
Financial Markets, Sovereign Default and Credit Rating Agencies
Credit default swap markets and credit risk pricing : a comparative study
Spread Risk Premia in Corporate Credit Default Swap Markets