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Structural Credit Risk Models

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description
 

Three different credit risk models are presented, implemented, and calibrated to real data. Each of which presents a different way to model the dynamics of a firm. To better examine their differences, the models are benchmarked against the much celebrated Merton''s model. Generally it is shown that structural credit risk models have empirical validity. However, all is not perfect. Since structural credit risk models may have two objectives. One being to accurately predict credit spreads, and another to determine the optimal capital structure. It is argued that if the goal is the former, then future structural models need to incorporate a more ?exible framework that can price the many di?erent types of bonds that make up a company''s debt simultaneously. However, if the objective is the latter, then the future models need to better account for the high costs linked with capital restructures in times of ?nancial distress.

Product Specifications
SKU :COC69435
AuthorMads Gjedsted Nielsen
LanguageEnglish
BindingPaperback
Number of Pages120
Publishing Year2011-02-08T00:00:00.000
ISBN978-3844306118
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00