Reduced Form Models: Kamakura's Risk Manager

Reduced Form Models: Kamakura's Risk Manager

This chapter contains sections titled: Introduction Deriving Risk‐Neutral Probabilities of Default Generalizing the Discrete Model of Risky Debt Pricing The Loss Intensity Process Kamakura's Risk Information Services (KRIS) Determinants of Bond Spreads Summary Appendix 5.1: Understanding a Basi...

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Bibliographische Detailangaben
Format: Buchkapitel
Sprache:eng
Schlagworte:
recovery rates
reduced form models
risk‐free asset
risk‐neutral probabilities
structural models
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Beschreibung
Zusammenfassung:This chapter contains sections titled: Introduction Deriving Risk‐Neutral Probabilities of Default Generalizing the Discrete Model of Risky Debt Pricing The Loss Intensity Process Kamakura's Risk Information Services (KRIS) Determinants of Bond Spreads Summary Appendix 5.1: Understanding a Basic Intensity Process
DOI:10.1002/9781118267981.ch5