New recipes for estimating default intensities
Year of publication: |
2009
|
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Authors: | Baranovski, Alexander ; von Lieres und Wilkau, Carsten ; Wilch, André |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Kreditsicherung | Securitization | Risikoprämie | Zinsstruktur | Kreditrisiko | Optionspreistheorie | Analysis | Theorie | CDS spreads | bond spreads | default intensity | credit derivatives pricing | spread risk modelling | credit risk modelling | loan book valuation | CIR model |
Series: | SFB 649 Discussion Paper ; 2009-004 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 590230492 [GVK] hdl:10419/25320 [Handle] RePEc:zbw:sfb649:sfb649dp2009-004 [RePEc] |
Classification: | C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models |
Source: |
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