Pricing CDOs with State Dependent Stochastic Recovery Rates
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Elsevier BV
Reference77 articles.
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2. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications;E Altman;Journal of Business,2005
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Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Bond and CDS Pricing with Recovery Risk II: The Stochastic Recovery Black-Cox Model;SSRN Electronic Journal;2017
2. Bond and CDS Pricing with Recovery Risk I: The Stochastic Recovery Merton Model;SSRN Electronic Journal;2014
3. Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice;Credit Risk Frontiers;2012-09-07
4. A Framework for Extracting the Probability of Default from Listed Stock Option Prices;SSRN Electronic Journal;2011
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