An empirical analysis of alternative recovery risk models and implied recovery rates
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DOI: 10.1007/s11147-009-9046-1
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Cited by:
- Yalin Gündüz & Marliese Uhrig-Homburg, 2014.
"Does modeling framework matter? A comparative study of structural and reduced-form models,"
Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
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More about this item
Keywords
Recovery; Default risk; Defaultable bonds; Corporate bond pricing; Recovery payout as a fraction of face; Recovery as a fraction of pre-default debt values; Recovery as a fraction of the present value of face; Implied recovery; G0; G10; G11; G12; G13; C5;All these keywords.
JEL classification:
- G0 - Financial Economics - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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