Lecture Notes in Economics and Mathematical Systems

Default Risk in Bond and Credit Derivatives Markets

Authors: Benkert, Christoph

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  • ISBN 978-3-642-17039-3
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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.

Table of contents (6 chapters)

  • Introduction

    Benkert, Christoph

    Pages 1-5

  • On the Economic Content of Models of Default Risk

    Benkert, Christoph

    Pages 7-20

  • Intensity-Based Modeling of Default

    Benkert, Christoph

    Pages 21-42

  • The Empirical Performance of Reduced-Form Models of Default Risk

    Benkert, Christoph

    Pages 43-90

  • Explaining Credit Default Swap Premia

    Benkert, Christoph

    Pages 91-100

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-3-642-17039-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $109.00
price for USA
  • ISBN 978-3-540-22041-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Default Risk in Bond and Credit Derivatives Markets
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
543
Copyright
2004
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-17039-3
DOI
10.1007/978-3-642-17039-3
Softcover ISBN
978-3-540-22041-1
Series ISSN
0075-8442
Edition Number
1
Number of Pages
IX, 135
Topics