MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL

DOI10.1111/J.1467-9965.2008.00358.XzbMATH Open1155.91383OpenAlexW2168879545MaRDI QIDQ3608736FDOQ3608736

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

Recommendations

• Recovery process model
• Implied recovery
• An empirical analysis of alternative recovery risk models and implied recovery rates
• Recovery process model for two companies
• A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery

zbMATH Keywords

credit riskrecovery ratesreduced form modelfiltration reduction

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Calcul stochastique et problèmes de martingales
• A technique for exponential change of measure for Markov processes
• Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
• Title not available (Why is that?)
• Credit risk: Modelling, valuation and hedging
• First passage times of a jump diffusion process
• Credit Risk Modeling
• Bankruptcy Prediction with Industry Effects
• Title not available (Why is that?)
• When the ``bull meets the ``bear: A first passage time problem for a hidden Markov process
• The valuation of a firm's investment opportunities: a reduced form credit risk perspective
• When does strategic debt-service matter?

Cited In (13)

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

This page was built for publication: MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3608736)