Benutzer: Gast  Login
Dokumenttyp:
Buchbeitrag 
Autor(en):
Höcht, S.; Kunze, M.; Scherer, M. 
Kooperation:
national 
Titel:
Implied Recovery Rates - Auction and Models 
Abstract:
Credit spreads provide information about implied default probabilities and recovery rates. Trying to extract both parameters simultaneously from market data is challenging due to identifiability issues. We review existing default models with stochastic recovery rates and try calibrating them to observed credit spreads. We discuss the mechanisms of credit auctions and compare implied recoveries with realized auction results in the example of Allied Irish Banks (AIB). 
Buchtitel:
Innovations in Quantitative Risk Management 
Intellectual Contribution:
Discipline-based Research 
Verlag / Institution:
Springer International Publishing 
Jahr:
2015 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
CC-Lizenz:
by, http://creativecommons.org/licenses/by/4.0 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook