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Titel:

Implied Recovery Rates - Auction and Models

Dokumenttyp:
Buchbeitrag
Autor(en):
Höcht, S.; Kunze, M.; Scherer, M.
Nicht-TUM Koautoren:
ja
Kooperation:
national
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
WWW:
http://link.springer.com/content/pdf/10.1007%2525252F978-3-319-09114-3_9.pdf
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
Interdisziplinarität:
Nein
Leitbild:
;
Technology:
Nein
Ethics und Sustainability:
Nein
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