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Pricing credit derivatives under stochastic recovery in a hybrid model

  • Published:2009-07-06 Issue:3 Volume:26 Page:254-276
  • ISSN:1524-1904
  • Container-title:Applied Stochastic Models in Business and Industry
  • language:en
  • Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Höcht Stephan,Zagst Rudi

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Reference52 articles.

1. Recovery swaps;Berd;Journal of Credit Risk,2005

2. An introduction to recovery products;Liu;Lehman Brothers Quantitative Credit Research Quarterly,2005

3. Almost everything you wanted to know about recoveries on defaulted bonds;Altman;Financial Analysts Journal,1996

4. Do bankruptcy codes matter? A study of defaults in France, Germany and the U.K.;Davydenko;Journal of Finance,2008

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1. A multi-curve HJM factor model for pricing and risk management;Quantitative Finance;2023-09-19

2. Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching;The European Journal of Finance;2023-04-24

3. Research on CDS pricing model with endogenous recovery rate;Communications in Nonlinear Science and Numerical Simulation;2018-09

4. PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES;International Journal of Theoretical and Applied Finance;2017-04-27

5. A reduced-form model for pricing defaultable bonds and credit default swaps with stochastic recovery;Applied Stochastic Models in Business and Industry;2016-09
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