MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL

DOI10.1111/J.1467-9965.2008.00358.XMaRDI QIDQ3608736zbMATH OpenOpenAlexFDO

Authors Xin Guo, Yan Zeng, Robert A. Jarrow

Publication date 6 March 2009

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2008.00358.x

zbMATH Keywords

credit riskrecovery ratesreduced form modelfiltration reduction

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3901751 (Why is no real title available?)
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• A technique for exponential change of measure for Markov processes
• Bankruptcy Prediction with Industry Effects
• Calcul stochastique et problèmes de martingales
• Credit Risk Modeling
• Credit risk: Modelling, valuation and hedging
• First passage times of a jump diffusion process
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• The valuation of a firm's investment opportunities: a reduced form credit risk perspective
• When does strategic debt-service matter?
• When the ``bull meets the ``bear: A first passage time problem for a hidden Markov process

Cited in

(13)

• Distressed debt prices and recovery rate estimation
• Asset allocation with contagion and explicit bankruptcy procedures
• Pricing options with credit risk in a reduced form model
• Recovery process model for two companies
• Computation of VaR for portfolios in intensity models
• On the probability of default in a market with price clustering and jump risk
• Recovery process model
• Reassessing recovery rates – floating recoveries
• Information uncertainty related to marked random times and optimal investment
• A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model
• An empirical analysis of alternative recovery risk models and implied recovery rates
• Implied recovery
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem

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