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A Structural Framework for the Pricing of Corporate Securities : Economic and Empirical Issues / by Michael Genser.
- Format:
- Book
- Author/Creator:
- Genser, Michael.
- Series:
- Lecture Notes in Economics and Mathematical Systems, 2196-9957 ; 566
- Language:
- English
- Subjects (All):
- Finance.
- Social sciences--Mathematics.
- Social sciences.
- Econometrics.
- Financial Economics.
- Mathematics in Business, Economics and Finance.
- Local Subjects:
- Financial Economics.
- Mathematics in Business, Economics and Finance.
- Econometrics.
- Physical Description:
- 1 online resource (200 p.)
- Edition:
- 1st ed. 2006.
- Place of Publication:
- Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2006.
- Language Note:
- English
- Summary:
- 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.
- Contents:
- 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.
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- ISBN:
- 9786610617951
- 9781280617959
- 1280617950
- 9783540286851
- 3540286853
- OCLC:
- 262692517
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