Product Description
This digital document is a journal article from Finance Research Letters, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Unti… More >>
From default probabilities to credit spreads: Credit risk models do explain market prices
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#1 by R. Cervantes on February 2, 2010 - 11:59 pm
This is an analytical extract from a journal. Provides 19 pages of the theory and mathematical formulae. Though, it doesn’t provide anything beyond a broad, theoretical approach for a model. I was looking for more of a practioner’s perspective on the model, but this doesn’t cut it. Good and easy to read, just not of much help if you are trying to develop a model.
Rating: 2 / 5