Local volatility and the recovery rate of credit default swaps

Author:

Jansen JeroenORCID,Das Sanjiv R.,Fabozzi Frank J.

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference35 articles.

1. Nonparametric estimation of state-price densities implicit in financial asset prices;Ait-Sahalia;J. Financ.,1998

2. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy;Altman;J. Financ.,1968

3. The link between default and recovery rates: theory, empirical evidence, and implications;Altman;J. Bus.,2005

4. Defaults and Returns in the High-Yield Bond and Distressed Debt Market: The Year 2011 in Review and Outlook;Altman,2012

5. Understanding the Role of Recovery in Default Risk Models : Empirical Comparisons and Implied Recovery Rates;Bakshi,2006

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