Default propensity implicit in pulled to par V@R for bonds

DOI10.7151/DMPS.1196MaRDI QIDQ5040248zbMATH OpenOpenAlexWikidataFDO

Authors Manuel L. Esquível, Raquel M. Gaspar, João B. Sousa

Publication date 11 October 2022

Published in Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7151/dmps.1196

zbMATH Keywords

bondsdefault probabilityrecovery given defaultvalue-at-risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited in

(1)

• Pulled-to-par returns for zero-coupon bonds historical simulation value at risk

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