The Pricing of Correlated Default Risk

Released on by Nikola A. Tarashev
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  • The Pricing of Correlated Default Risk Book Detail

  • Author : Nikola A. Tarashev
  • Release Date : 2008
  • Publisher :
  • Genre :
  • Pages : 48
  • ISBN 13 : 9783865584083
  • File Size : 59,59 MB
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The Pricing of Correlated Default Risk by Nikola A. Tarashev PDF Summary

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The Pricing of Correlated Default Risk

The Pricing of Correlated Default Risk

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In order to analyze the pricing of portfolio credit risk - as revealed by tranche spreads of a popular credit default swap (CDS) index - we extract risk-neutral

Measuring Corporate Default Risk

Measuring Corporate Default Risk

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This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical method

Measuring Correlated Default Risk

Measuring Correlated Default Risk

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Extracting information from daily CDS spreads, we propose a measure of correlated default risk, which we show is a meaningful predictor of bankruptcy clusters.