A Structural Framework for the Pricing of Corporate Securities [electronic resource] : Economic and Empirical Issues /
Genser, Michael.author.
A treatment of structural credit risk models for simultaneous and consistent pricing of corporate securities. This book takes us from the economic principles of firm value models to the empirical implementation, through the development of an economic framework. It provides exposition of corporate securities pricing for academics and practitioners.
Description based upon print version of record.
A treatment of structural credit risk models for simultaneous and consistent pricing of corporate securities. This book takes us from the economic principles of firm value models to the empirical implementation, through the development of an economic framework. It provides exposition of corporate securities pricing for academics and practitioners.
Includes bibliographical references.
The Corporate Securities Framework -- ABM- and GBM-EBIT-Models -- Numerical Illustration of the ABM- and GBM-Model -- Empirical Test of the EBIT-Based Credit Risk Model -- Concluding Remarks.
Finance.
Economics, Mathematical .
Econometrics.
Finance, general.
Quantitative Finance.
Econometrics.
Lecture notes in economics and mathematical systems