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Default Risk in Bond and Credit Derivatives Markets

  • Christoph Benkert

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 543)

Table of contents

  1. Front Matter
    Pages I-IX
  2. Christoph Benkert
    Pages 1-5
  3. Christoph Benkert
    Pages 21-42
  4. Christoph Benkert
    Pages 91-100
  5. Christoph Benkert
    Pages 111-114
  6. Back Matter
    Pages 115-137

About this book

Introduction

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.

Keywords

Affine Term Structure Models Credit Derivatives Credit Risk Default Risk Efficient Method of Moments modeling

Authors and affiliations

  • Christoph Benkert
    • 1
  1. 1.Frankfurt/MainGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-17039-3
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-22041-1
  • Online ISBN 978-3-642-17039-3
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
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