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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978-3-540-22041-1Springer-Verlag Berlin Heidelberg 2004

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Default Risk in Bond and Credit Derivatives Markets978-3-642-17039-3Series ISSN 0075-8442 Series E-ISSN 2196-9957

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Intensity-Based Modeling of Default,he 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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Explaining Credit Default Swap Premia,ill displays a substantial lack of empirical work. There is a slowly growing literature on the pricing of defaultable debt, but hardly any empirical contributions have been made using credit derivatives data. Even the pricing of the most common credit derivatives, plain-vanilla credit default swaps