Pricing a defaultable bond with a stochastic recovery rate
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680902835725
Reference22 articles.
1. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*
2. A Theory of the Term Structure of Interest Rates
3. Specification Analysis of Affine Term Structure Models
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3. Structural estimation of counterparty credit risk under recovery risk;Journal of Banking & Finance;2022-07
4. Pricing defaultable bonds under Hawkes jump-diffusion processes;Finance Research Letters;2022-06
5. Pricing Defaultable Bonds Using a Lévy Jump‐Diffusion Model;International Review of Finance;2018-11-11
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