Pricing credit derivatives under stochastic recovery in a hybrid model
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Publication:3103152
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Cites work
- scientific article; zbMATH DE number 2144815 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
- Bankruptcy prediction by generalized additive models
- Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
- Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
- Interest rate dynamics, derivatives pricing, and risk management
- On a measure of lack of fit in time series models
- Pricing the risks of default
- Recursive valuation of defaultable securities and the timing of resolution of uncertainty
- Risk-neutral valuation: Pricing and hedging of financial derivatives
Cited in
(9)- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- Pricing defaultable bonds with stochastic recovery under a hybrid model
- A multi-curve HJM factor model for pricing and risk management
- Research on CDS pricing model with endogenous recovery rate
- Pricing distressed CDOs with stochastic recovery
- Reassessing recovery rates – floating recoveries
- Probability density of recovery rate given default of a firm's debt and its constituent tranches
- Implied recovery
- A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
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