Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates
Tomohiro Ando
| Year of publication: |
2014
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|---|---|
| Authors: | Ando, Tomohiro |
| Published in: |
Journal of the Operational Research Society : OR. - Basingstoke, Hampshire : Palgrave, ISSN 0030-3623, ZDB-ID 716033-1. - Vol. 65.2014, 3, p. 454-465
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| Subject: | Bayesian econometrics | credit risk management | default probability | recovery rates | Kreditrisiko | Credit risk | Unternehmensanleihe | Corporate bond | Kreditderivat | Credit derivative | Bayes-Statistik | Bayesian inference | Insolvenz | Insolvency | Risikoprämie | Risk premium | Wahrscheinlichkeitsrechnung | Probability theory | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010251681