| 书目名称 | Default Risk in Bond and Credit Derivatives Markets |
| 编辑 | Christoph Benkert |
| 视频video | |
| 丛书名称 | Lecture Notes in Economics and Mathematical Systems |
| 图书封面 |  |
| 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 |
| 关键词 | Affine Term Structure Models; Credit Derivatives; Credit Risk; Default Risk; Efficient Method of Moments |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-17039-3 |
| isbn_softcover | 978-3-540-22041-1 |
| isbn_ebook | 978-3-642-17039-3Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 2004 |
发表于 2025-3-21 20:09:10
