New recipes for estimating default intensities
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More about this item
Keywords
CDS spreads; bond spreads; default intensity; credit derivatives pricing; spread risk modelling; credit risk modelling; loan book valuation; CIR model;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2009-01-31 (Risk Management)
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