Distressed debt prices and recovery rate estimation

DOI10.1007/S11147-009-9029-2MaRDI QIDQ1029236zbMATH OpenOpenAlexFDO

Authors Xin Guo, Robert A. Jarrow, Haizhi Lin

Publication date 10 July 2009

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-009-9029-2

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Credit risk: Modelling, valuation and hedging
• Distressed debt prices and recovery rate estimation
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
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• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL

Cited in

(12)

• Distressed debt prices and recovery rate estimation
• Implied recovery
• A revised version of the Cathcart \& El-Jahel model and its application to CDS market
• Structural recovery of face value at default
• Pricing CDOs with state-dependent stochastic recovery rates
• Equilibrium model with default and dynamic insider information
• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
• Reassessing recovery rates – floating recoveries
• Pricing the risks of default
• Pricing distressed CDOs with stochastic recovery
• An empirical analysis of alternative recovery risk models and implied recovery rates
• Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today

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