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Default Risk in Bond and Credit Derivatives Markets Book

Default Risk in Bond and Credit Derivatives Markets
Default Risk in Bond and Credit Derivatives Markets, 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 frame, Default Risk in Bond and Credit Derivatives Markets has a rating of 3 stars
   2 Ratings
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Default Risk in Bond and Credit Derivatives Markets, 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 frame, Default Risk in Bond and Credit Derivatives Markets
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  • Default Risk in Bond and Credit Derivatives Markets
  • Written by author Christoph Benkert
  • Published by Springer-Verlag New York, LLC, October 2007
  • 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 frame
  • 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 frame
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Book Categories

Authors

1Introduction1
2On the economic content of models of default risk7
3Intensity-based modeling of default21
4The empirical performance of reduced-form models of default risk43
5Explaining credit default swap premia91
6Conclusion111
App. ACalculation of volatility proxies115


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Default Risk in Bond and Credit Derivatives Markets, 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 frame, Default Risk in Bond and Credit Derivatives Markets

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Default Risk in Bond and Credit Derivatives Markets, 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 frame, Default Risk in Bond and Credit Derivatives Markets

Default Risk in Bond and Credit Derivatives Markets

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Default Risk in Bond and Credit Derivatives Markets, 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 frame, Default Risk in Bond and Credit Derivatives Markets

Default Risk in Bond and Credit Derivatives Markets

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