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Titlebook: Default Risk in Bond and Credit Derivatives Markets; Christoph Benkert Book 2004 Springer-Verlag Berlin Heidelberg 2004 Affine Term Struct

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發(fā)表于 2025-3-21 20:09:10 | 只看該作者 |倒序?yàn)g覽 |閱讀模式
書目名稱Default Risk in Bond and Credit Derivatives Markets
編輯Christoph Benkert
視頻videohttp://file.papertrans.cn/265/264706/264706.mp4
叢書名稱Lecture Notes in Economics and Mathematical Systems
圖書封面Titlebook: Default Risk in Bond and Credit Derivatives Markets;  Christoph Benkert Book 2004 Springer-Verlag Berlin Heidelberg 2004 Affine Term Struct
描述.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..
出版日期Book 2004
關(guān)鍵詞Affine Term Structure Models; Credit Derivatives; Credit Risk; Default Risk; Efficient Method of Moments
版次1
doihttps://doi.org/10.1007/978-3-642-17039-3
isbn_softcover978-3-540-22041-1
isbn_ebook978-3-642-17039-3Series ISSN 0075-8442 Series E-ISSN 2196-9957
issn_series 0075-8442
copyrightSpringer-Verlag Berlin Heidelberg 2004
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沙發(fā)
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板凳
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The Politics of Economic Transformation meticulous technicalities is referred to the cited literature. The reduced-form modeling set up of the study of credit default swap premia presented in chapter 5 is very much straightforward and necessitates no separate theoretical treatment.
地板
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The Politics of Economic Transformationhe economic content of the models, reduced-form models have not been dealt with extensively. As the empirical analysis to follow will be conducted in the context of reduced-form modeling, it is the purpose of this part to make up for this shortcoming. Specifically, we will establish the theoretical
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Bodhaswar TJ Maharaj,Babatunde Seun Awoyemic view, it is regrettable that in these models there is no economic intuition for the default event. However, we have made our choice only after demonstrating that under a strict criterion, practically useful implementations of firm value models do not possess this feature, either. Chapter 3 has pre
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