Does modeling framework matter? A comparative study of structural and reduced-form models
Year of publication: |
2011
|
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Authors: | Gündüz, Yalin ; Uhrig-Homburg, Marliese |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | credit risk | structural models | reduced-form models | default intensity | stationary leverage | credit default swaps |
Series: | Discussion Paper Series 2 ; 2011,05 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-3-86558-701-5 |
Other identifiers: | 659408813 [GVK] hdl:10419/45639 [Handle] RePEc:zbw:bubdp2:201105 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: |
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