Credit risk & forward price models

Credit risk & forward price models

This thesis consists of three distinct parts. Part I introduces the basic concepts and the notion of general quadratic term structures (GQTS) essential in some of the following chapters. Part II focuses on credit risk models and Part III studies forward price term structure models using both the cla...

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Bibliographic Details
Main Author: Gaspar, Raquel M.
Format: Doctoral Thesis
Language:English
Published: Handelshögskolan i Stockholm, Finansiell Ekonomi (FI) 2006
Subjects:
Credit risk
Reduced-form models
Bond prices
Forward prices
Futures prices
Term structure
State space models
Markovian realizations
Risk
ekonomiska aspekter
Prisbildning
matematiska modeller
Kredit
Kreditrisker
Business and economics
Ekonomi
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-503
http://nbn-resolving.de/urn:isbn:91-7258-686-9

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-503
http://nbn-resolving.de/urn:isbn:91-7258-686-9

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