Analyse von Ausfallrisiken

DSpace Repository


Dateien:
Aufrufstatistik

URI: http://hdl.handle.net/10900/67485
http://nbn-resolving.de/urn:nbn:de:bsz:21-dspace-674851
http://dx.doi.org/10.15496/publikation-8905
Dokumentart: Dissertation
Date: 2016-01-12
Source: Review of Derivatives Research, 2015, Vol. 18 (3), p. 191.224; to be published in Journal of Credit Risk, 2015
Language: English
Faculty: 6 Wirtschafts- und Sozialwissenschaftliche Fakultät
6 Wirtschafts- und Sozialwissenschaftliche Fakultät
Department: Wirtschaftswissenschaften
Advisor: Koziol, Christian (Prof. Dr.)
Day of Oral Examination: 2015-11-13
DDC Classifikation: 330 - Economics
Keywords: Kredit
Other Keywords:
Credit Default Swap
Collateralized Debt Obligation
Contingent Credit Default Swap
Credit Valuation Adjustment
Systemic Risk
License: Publishing license excluding print on demand
Show full item record

Abstract:

This thesis comprises three essays on the pricing of default risk. It analyzes latest developments in this field empirically and theoretically delivering deeper insights into the questions of how firms default and how default risk is priced in interest rate and equity instruments.

This item appears in the following Collection(s)