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Titel:

Pricing Credit Derivatives under Stochastic Recovery in a Hybrid Model

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Höcht, S.; Zagst, R.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
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