Search Results - subject:"STRUCTURAL MODELS"

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - European Central Bank - 2010

Persistent link: https://www.econbiz.de/10008478976

Linking credit risk premia to the equity premium

Berg, Tobias; Kaserer, Christoph - 2008

estimation method which is based on credit valuations. The main idea is straigtforward: We use structural models to link equity … default barriers - which is usually necessary in traditional applications of structural models. Third, it is robust to model … changes. We examine the model of Duffie/Lando (2001) - which is one of the most sophisticated structural models currently …

Persistent link: https://www.econbiz.de/10010305726

Linking credit risk premia to the equity premium

Berg, Tobias; Kaserer, Christoph - Fakultät für Wirtschaftswissenschaften, Technische … - 2008

Persistent link: https://www.econbiz.de/10009219916