A CB (Corporate Bond) Pricing Probabilities and Recovery Rates Model for Deriving Default Probabilities and Recovery Rates

DOI10.1214/12-IMSCOLL1008zbMath1319.91151arXiv1206.4766MaRDI QIDQ5499672

Takeaki Kariya

Publication date: 30 July 2015

Published in: Advances in Modern Statistical Theory and Applications: A Festschrift in honor of Morris L. Eaton (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.4766

zbMATH Keywords

credit default swaprecovery ratecredit risk managementbusiness portfoliocorporate bond modelgovernment bond modelterm structure of default probabilities

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10) Credit risk (91G40)

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Measuring credit risk of individual corporate bonds in US energy sector

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