Interactions between Market and Credit Risk: Modeling the Joint Dynamics of Default-free and Defaultable Bond Term Structures
| Year of publication: |
2002-11-01
|
|---|---|
| Authors: | Walder, Roger |
| Publisher: |
International Center for Financial Asset Management and Engineering (FAME) <Genf> |
| Subject: | Ausfallrisiko | Kreditrisiko | Bewertung | Anleihe | Faktoranalyse | Momentenmethode | Zinsstruktur | Term structure model |
- 1. Introduction
- 2. Model formulation
- 3. Estimation methodology
- 4. Empirical results
- 5. Conclusion
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