Structural and reduced form models [electronic resource] / Theofanis Darsinos.

By:

Darsinos, Theofanis [spk]

Material type: Film

FilmPublisher number: 1254 | Henry Stewart TalksSeries: Henry Stewart talks. Marketing & management collection. Quantitative financial risk managementPublication details: London : Henry Stewart Talks, 2007.Description: 1 online resource (1 streaming video file (42 min.) : color, sound)Subject(s):

Financial risk management

Online resources:

Contents:

Contents: Structural Models -- The Merton Approach: Bond pricing, Stock pricing, Default probability, Credit spreads, Bond volatility -- Parameter estimation -- Limitations -- Extending Merton: The creditgrades model Reduced Form Models -- Default intensity -- Examples: Constant, Deterministic and Stochastic intensities -- Linking reduced and structural models -- Recovery rates.

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Holdings
Item type	Current library	Home library	Call number	Status	Date due	Barcode
Books	Chinhoyi University of Technology Libraries	Chinhoyi University of Technology Libraries		Available

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