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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Höcht, S.; Zagst, R. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Pricing Credit Derivatives under Stochastic Recovery in a Hybrid Model 
Abstract:
We present a framework for the joint modelling of default and recovery risk. Our model takes account for typical characteristics known from empirical studies, e.g. negative correlation between the recoveryrate process and the default intensity, as well as between the default intensity and the state of the economy, and a positive dependence of recovery rates on the economic environment. Within this framework pricing formulas for credit derivatives are derived. The stochastic model for the recover...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Applied Stochastic Models in Business and Industry 
Jahr:
2010 
Band / Volume:
26 
Seitenangaben Beitrag:
254-276 
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein