Pricing credit derivatives under stochastic recovery in a hybrid model

DOI10.1002/asmb.792zbMath1226.91077MaRDI QIDQ3103152

Stephan Höcht, Rudi Zagst

Publication date: 26 November 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.792

zbMATH Keywords

credit risk; recovery rate; CDS pricing

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Reassessing recovery rates – floating recoveries, PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES, A multi-curve HJM factor model for pricing and risk management, Research on CDS pricing model with endogenous recovery rate

Cites Work

• Unnamed Item
• Unnamed Item
• Pricing the risks of default
• Risk-neutral valuation: Pricing and hedging of financial derivatives
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Interest rate dynamics, derivatives pricing, and risk management
• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
• On a measure of lack of fit in time series models
• Bankruptcy prediction by generalized additive models