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 framework a broad range of promising specification...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
2004, 2004
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| Edition: | 1st ed. 2004 |
| Series: | Lecture Notes in Economics and Mathematical Systems
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| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- 1 Introduction
- 2 On the Economic Content of Models of Default Risk
- 2.1 Introduction
- 2.2 A Criterion for Economic Interpret ability
- 2.3 Models of Default Risk
- 2.4 Interpret ability of Firm Value Models
- 2.5 Conclusion
- 3 Intensity-Based Modeling of Default
- 3.1 Introduction
- 3.2 Default Arrival and the Default Event
- 3.3 The Hazard Rate
- 3.4 Loss Given Default
- 3.5 Defaultable Bond Prices
- 3.6 Implications for the Empirical Studies
- 3.7 Affine Term Structure Models in the Context of Default Risk
- 3.8 Summary and Outlook
- 4 The Empirical Performance of Reduced-Form Models of Default Risk
- 4.1 Preliminaries
- 4.2 Estimation of Complet ely Affine Term Structure Models for Defaultable Rates
- 4.3 Estimation of Complet ely Affine Term Structure Models for Spreads
- 4.4 In corporating Correlation
- 4.5 Estimation of Essentially Affine Term Structure Models for Defaultable Rates
- 4.6 Summary
- 5 Explaining Credit Default Swap Premia
- 5.1 Introduction
- 5.2 Modeling Idea
- 5.3 Data
- 5.4 Estimation and Results
- 5.5 Robustness Checks
- 5.6 Conclusion
- 6 Conclusion
- A Calculation of Volatility Proxies
- B Tables for Chapter 4
- C Tables for Chapter 5
- References