Default risk in bond and credit derivatives markets.

DOI10.1007/978-3-642-17039-3MaRDI QIDQ1880667zbMATH OpenOpenAlexFDO

Authors Christoph Benkert

Publication date 30 September 2004

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17039-3

zbMATH Keywords

affine term structure modelscredit default swap premiareduced-form models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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• Restructuring risk in credit default swaps: an empirical analysis
• Pricing and liquidity of complex and structured derivatives. Deviation of a risk benchmark based on credit and option market data
• Default risk and equity returns: evidence from the Taiwan equities market
• The sensitivity of credit default swap premium to global risk factor: evidence from emerging markets
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• An integrated pricing model for defaultable loans and bonds
• Default Risk, Asset Pricing, and Debt Control

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