Implied Recovery Rates - Auction and Models

Höcht, S.; Kunze, M.; Scherer, M.

Title:: Implied Recovery Rates - Auction and Models
Document type:: Buchbeitrag
Author(s):: Höcht, S.; Kunze, M.; Scherer, M.
Non-TUM Co-author(s):: ja
Cooperation:: 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).
Book title:: Innovations in Quantitative Risk Management
Intellectual Contribution:: Discipline-based Research
Publisher:: Springer International Publishing
Year:: 2015
Reviewed:: ja
Language:: en
WWW:: http://link.springer.com/content/pdf/10.1007%2525252F978-3-319-09114-3_9.pdf
TUM Institution:: Lehrstuhl für Finanzmathematik
Format:: Text
CC license:: by, http://creativecommons.org/licenses/by/4.0
Key publication:: Nein
Peer reviewed:: ja
International:: Ja
Book review:: Nein
Commissioned:: not commissioned
Category:: textbook
Technology:: Nein
Interdisciplinarity:: Nein
Mission statement:: ;
Ethics and Sustainability:: Nein

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