Structural and reduced form models [electronic resource] / Theofanis Darsinos.
Material type: FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2007Description: 1 online resource (1 streaming video file (42 min.) : color, sound)Subject(s): Financial risk managementOnline resources: Click here to access online | SeriesAnimated audio-visual presentations with synchronized narration.
Title from title frames.
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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Mode of access: World Wide Web.