Over the last years, there has been an important discussion about
the ability of investment banks and rating agencies to properly
assess the risk of corporate debt. Practitioners and academics
have, for more than 30 years, developed models that aim to price
this risk. This book gives a deep insight into the predictive power
of three of the most important structural models of corporate debt
pricing. It provides the theoretical framework of each of these
models and evaluates their performance in estimating corporate
credit spreads. Questions like the choice of an appropriate model,
suitable parameter estimation and calibration techniques are
discussed. The book provides a detailed empirical analysis of the
importance of firm and bond-specific factors for the performance of
the models. This piece of work is a valuable source for financial
analysts that are involved in the pricing of credit risk. It can
also be an effective instrument for students and academics
interested in getting a comprehensive analysis of some of the most
important credit risk models.
General
Imprint: |
VDM Verlag
|
Country of origin: |
Germany |
Release date: |
May 2011 |
First published: |
May 2011 |
Authors: |
Joao Teixeira
|
Dimensions: |
229 x 152 x 5mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
76 |
ISBN-13: |
978-3-639-36035-6 |
Categories: |
Books >
Business & Economics >
Economics >
General
|
LSN: |
3-639-36035-4 |
Barcode: |
9783639360356 |
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