Default Risk in Bond and Credit Derivatives Markets

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Default Risk in Bond and Credit Derivatives Markets is written by Christoph Benkert and published by Springer Science & Business Media. It's available with International Standard Book Number or ISBN identification 3642170390 (ISBN 10) and 9783642170393 (ISBN 13).

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.