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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| description | 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_str_mv | 10.1002/9781118267981.ch5 |
| format | Book Chapter |
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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</description><identifier>ISBN: 0470478349</identifier><identifier>ISBN: 9780470478349</identifier><identifier>EISBN: 9781118267981</identifier><identifier>EISBN: 1118267982</identifier><identifier>DOI: 10.1002/9781118267981.ch5</identifier><language>eng</language><publisher>Hoboken, NJ, USA: John Wiley & Sons, Inc</publisher><subject>recovery rates ; reduced form models ; risk‐free asset ; risk‐neutral probabilities ; structural models</subject><ispartof>Credit Risk Management in and Out of the Financial Crisis, 2010, p.98-116</ispartof><rights>Copyright © 2010 Anthony Saunders and Linda Allen. All rights reserved.</rights><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>781,782,786,795,27932</link.rule.ids></links><search><contributor>Allen, Linda</contributor><contributor>Saunders, Anthony</contributor><title>Reduced Form Models: Kamakura's Risk Manager</title><title>Credit Risk Management in and Out of the Financial Crisis</title><description>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</description><subject>recovery rates</subject><subject>reduced form models</subject><subject>risk‐free asset</subject><subject>risk‐neutral probabilities</subject><subject>structural models</subject><isbn>0470478349</isbn><isbn>9780470478349</isbn><isbn>9781118267981</isbn><isbn>1118267982</isbn><fulltext>true</fulltext><rsrctype>book_chapter</rsrctype><creationdate>2010</creationdate><recordtype>book_chapter</recordtype><sourceid/><recordid>eNpjYJA0NNAzNDAw0rc0tzA0NLQwMjO3tDDUS84wZWTgRRFjZuAyMDEHIgtjE0sOBt7i4iwDIDAxNAWq4WTQCUpNKU1OTVFwyy_KVfDNT0nNKbZS8E7MTcwuLUpUL1YIyizOVvBNzEtMTy3iYWBNS8wpTuWF0twMhm6uIc4euuWZOamV8alJ-fnZxfGGBvEgp8WjOCMe6DQQNiZPjy4WPahqqzILwOoLUtKMAdJkThg</recordid><startdate>20100419</startdate><enddate>20100419</enddate><general>John Wiley & Sons, Inc</general><scope/></search><sort><creationdate>20100419</creationdate><title>Reduced Form Models: Kamakura's Risk Manager</title></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-wiley_ebooks_10_1002_9781118267981_ch5_ch53</frbrgroupid><rsrctype>book_chapters</rsrctype><prefilter>book_chapters</prefilter><language>eng</language><creationdate>2010</creationdate><topic>recovery rates</topic><topic>reduced form models</topic><topic>risk‐free asset</topic><topic>risk‐neutral probabilities</topic><topic>structural models</topic><toplevel>online_resources</toplevel></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Allen, Linda</au><au>Saunders, Anthony</au><format>book</format><genre>bookitem</genre><ristype>CHAP</ristype><atitle>Reduced Form Models: Kamakura's Risk Manager</atitle><btitle>Credit Risk Management in and Out of the Financial Crisis</btitle><date>2010-04-19</date><risdate>2010</risdate><spage>98</spage><epage>116</epage><pages>98-116</pages><isbn>0470478349</isbn><isbn>9780470478349</isbn><eisbn>9781118267981</eisbn><eisbn>1118267982</eisbn><abstract>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</abstract><cop>Hoboken, NJ, USA</cop><pub>John Wiley & Sons, Inc</pub><doi>10.1002/9781118267981.ch5</doi><tpages>19</tpages></addata></record> |
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| identifier | ISBN: 0470478349 |
| ispartof | Credit Risk Management in and Out of the Financial Crisis, 2010, p.98-116 |
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| language | eng |
| recordid | cdi_wiley_ebooks_10_1002_9781118267981_ch5_ch5 |
| source | O'Reilly Online Learning: Academic/Public Library Edition |
| subjects | recovery rates reduced form models risk‐free asset risk‐neutral probabilities structural models |
| title | Reduced Form Models: Kamakura's Risk Manager |
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