Default risk in bond and credit derivatives markets.

DOI10.1007/978-3-642-17039-3zbMATH Open1053.91066OpenAlexW651240500MaRDI QIDQ1880667FDOQ1880667

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

Recommendations

• Pricing credit linked financial instruments. Theory and empirical evidence
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• scientific article; zbMATH DE number 5309345
• Credit Risk Modeling
• scientific article; zbMATH DE number 1222802

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)

Cited In (11)

• Title not available (Why is that?)
• FINDING POPULAR PLACES
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• 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
• Pricing the risks of default
• An integrated pricing model for defaultable loans and bonds
• Default Risk, Asset Pricing, and Debt Control
• Collateralized Borrowing and Default Risk

This page was built for publication: Default risk in bond and credit derivatives markets.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1880667)