Default Risk in Bond and Credit Derivatives Markets is popular PDF and ePub book, written by Christoph Benkert in 2011-09-08, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Default Risk in Bond and Credit Derivatives Markets can be Read Online from any device for your convenience.
Default Risk in Bond and Credit Derivatives Markets Book PDF Summary
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.
Detail Book of Default Risk in Bond and Credit Derivatives Markets PDF
- Author : Christoph Benkert
- Release : 08 September 2011
- Publisher : Springer
- ISBN : 3642170404
- Genre : Business & Economics
- Total Page : 135 pages
- Language : English
- PDF File Size : 8,7 Mb
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