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dc.contributor.authorGündüz, Yalinen
dc.contributor.authorUhrig-Homburg, Marlieseen
dc.date.accessioned2011-05-20-
dc.date.accessioned2011-05-25T08:42:03Z-
dc.date.available2011-05-25T08:42:03Z-
dc.date.issued2011-
dc.identifier.isbn978-3-86558-701-5en
dc.identifier.urihttp://hdl.handle.net/10419/45639-
dc.description.abstractThis study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input data, applying comparable estimation techniques, and assessing the out-of-sample prediction quality on same time series of CDS prices we are able to judge whether empirically the model structure itself makes an important difference. Interestingly, the models' prediction power is quite close on average. Still, the reduced-form approach outperforms the structural for investment-grade names and longer maturities.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2011,05en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordcredit risken
dc.subject.keywordstructural modelsen
dc.subject.keywordreduced-form modelsen
dc.subject.keyworddefault intensityen
dc.subject.keywordstationary leverageen
dc.subject.keywordcredit default swapsen
dc.titleDoes modeling framework matter? A comparative study of structural and reduced-form models-
dc.typeWorking Paperen
dc.identifier.ppn659408813en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:201105en

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