Excerpt from Book - Among the most widely studied time-series processes in the empirical finance literature is the family of affine processes. Their popularity is attributable to their accommodation of stochastic volatility, jumps, and correlations among the risk factors driving asset returns, while leading to computationally tractable pricing relations and ... click here for more details.
Excerpt from Book - The primary objectives of this chapter are to provide an overview of the specifications of preference-based DAPMs and to summarize the large body of empirical evidence on the goodness-of-fit of these models. We begin in Section 10.1 with a presentation of the key challenges facing preferencebased ... click here for more details.
Based upon the material developed in Chapter 3, this chapter introduces the models of correlated defaults and their corresponding method of calibration and simulation algorithms. CreditMetrics, doubly stochastic correlated default-intensity processes, copulas and intensity-based models of default with joint credit events are the most popular approaches and are discussed ... click here for more details.
Excerpt from Book - We turn next to the estimation and assessments of fit of DTSMs. Focusing primarily on the parametric models just surveyed and drawing upon Chapter 5, we begin by reviewing alternative estimation strategies. The goodnes-of-fit of DTSMs is then explored in two steps. First, we describe several ... click here for more details.
Credit risk, credit risk pricing models, empirical aspects of corporate and sovereign bond yields, historical properties of US corporate bond credit spreads, correlation between Treasury rates and spreads, alternative reference curves for spreads, reduced-form models, affine models, parametric reduced-form models, square-root diffusion models, jump-diffusion models, observable credit factors, estimating structural models, empirical implementation and analysis of structural models, parametric models of sovereign spreads