A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk

Author:

Cohen Albert,Costanzino Nick

Publisher

MDPI AG

Subject

Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting

Reference21 articles.

1. Negative Credit Spreads: Liquidity and Limits to Arbitrage

2. VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS

3. New Math for Life Actuaries;Bühlmann;ASTIN Bulletin,2002

4. Bounded Brownian Motion

5. Bond and CDS Pricing with Recovery Risk I: The Stochastic Recovery Merton Modelhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2544532

Cited by 2 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. Structural estimation of counterparty credit risk under recovery risk;Journal of Banking & Finance;2022-07

2. Credit risk and solvency capital requirements;European Actuarial Journal;2018-10-17

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