Implied recovery

DOI10.1016/j.jedc.2009.04.005zbMath1178.91209OpenAlexW4251597813MaRDI QIDQ1032681

Paul Hanouna, Sanjiv Ranjan Das

Publication date: 26 October 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.04.005

zbMATH Keywords

recoverycredit default swapsdefault probabilityreduced form

Mathematics Subject Classification ID

Related Items (10)

PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES ⋮ An optimization model for minimizing systemic risk ⋮ Liquidity risk in derivatives valuation: an improved credit proxy method ⋮ Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ Local volatility and the recovery rate of credit default swaps ⋮ An efficient approach for calculating default probabilities for cash-flow based project finance with reserve account ⋮ \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe ⋮ Research on CDS pricing model with endogenous recovery rate ⋮ Recovery rates in investment-grade pools of credit assets: a large deviations analysis ⋮ Distressed debt prices and recovery rate estimation

Cites Work

• Pricing the risks of default
• An Integrated Model for Hybrid Securities
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Option pricing: A simplified approach
• Mathematics of Speculative Price
• Unnamed Item

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