Essays about: "David Berneheim"

Found 1 essay containing the words David Berneheim.

  1. 1. Credit default swaps and CreditGrades: Evidence from the Nordic markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : David Krieg; David Berneheim; [2009]
    Keywords : credit risk; credit default swap; Creditgrades; CDS spread; Structural model; Nordic markets; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This study examines and compares theoretical CDS spreads created by a structural framework with empirical CDS spreads. The model employed is the CreditGrades model based on the Merton framework from 1974 which calculate default probabilities and credit spreads from balance sheet and equity data. READ MORE