Pricing credit derivatives under stochastic recovery in a hybrid model

DOI10.1002/ASMB.792zbMATH Open1226.91077OpenAlexW4234902767MaRDI QIDQ3103152FDOQ3103152

Authors Stephan Höcht, R. 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 riskrecovery rateCDS pricing

Mathematics Subject Classification ID

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

Recommendations

• Implied recovery
• Reassessing recovery rates – floating recoveries
• Modeling and pricing credit derivatives
• Pricing defaultable bonds with stochastic recovery under a hybrid model
• Pricing distressed CDOs with stochastic recovery

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)

• 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
• A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
• Pricing defaultable bonds with stochastic recovery under a hybrid model
• A multi-curve HJM factor model for pricing and risk management
• A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
• Implied recovery

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