Overview

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.

Full Product Details

Author:   Christoph Benkert
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   Softcover reprint of the original 1st ed. 2004
Volume:   543
Dimensions:   Width: 15.50cm , Height: 0.80cm , Length: 23.50cm
Weight:   0.490kg
ISBN:  

9783540220411

ISBN 10:   3540220410
Pages:   135
Publication Date:   05 August 2004
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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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.

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