Overview
Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 543)
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Table of contents (6 chapters)
Keywords
About this book
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.
Authors and Affiliations
Bibliographic Information
Book Title: Default Risk in Bond and Credit Derivatives Markets
Authors: Christoph Benkert
Series Title: Lecture Notes in Economics and Mathematical Systems
DOI: https://doi.org/10.1007/978-3-642-17039-3
Publisher: Springer Berlin, Heidelberg
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2004
Softcover ISBN: 978-3-540-22041-1Published: 05 August 2004
eBook ISBN: 978-3-642-17039-3Published: 27 August 2012
Series ISSN: 0075-8442
Series E-ISSN: 2196-9957
Edition Number: 1
Number of Pages: IX, 135
Topics: Finance, general, Econometrics, Quantitative Finance, Macroeconomics/Monetary Economics//Financial Economics