Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching-Reference-Cited by-同舟云学术

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Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching

Published:2023-04-24 Issue:2 Volume:30 Page:127-143
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Chen Son-Nan¹,Hsu Pao-Peng²^ORCID,Liang Kuo-Yuan³⁴

Affiliation:

1. Shanghai Advanced Institute of Finance, Shanghai Jiatong University, Shanghai, People’s Republic of China

2. Department of Insurance and Finance Management, Chaoyang University of Technology, Taichung, Taiwan

3. College of Technology Management, National Tsing Hua University, Hsinchu, Taiwan

4. Yuanta Bank, Taipei, Taiwan

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2023.2193703

Reference37 articles.

1. Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries

2. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*

3. Empirical Evaluation of Hybrid Defaultable Bond Pricing Models

4. Investigating the Role of Systematic and Firm‐Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models*

5. Modeling CDS spreads: A comparison of some hybrid approaches

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1. A Multi-Credit-Rating Migration Model with Asymmetric Migration Boundaries;Mathematical and Computational Applications;2024-01-17

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