Default Risk in Bond and Credit Derivatives Markets: 543 (Lecture Notes in Economics and Mathematical Systems, 543) - Softcover
Synopsis
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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Default Risk in Bond and Credit Derivatives Markets
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Springer Berlin Heidelberg Aug 2004, 2004
ISBN 10: 3540220410
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 152 pp. Englisch. Seller Inventory # 9783540220411
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Default Risk in Bond and Credit Derivatives Markets
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Default Risk in Bond and Credit Derivatives Markets
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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 fram. Seller Inventory # 4885328
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Default Risk in Bond and Credit Derivatives Markets
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 152 pp. Englisch. Seller Inventory # 9783540220411