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- Document type:
- Buchbeitrag
- Author(s):
- Höcht, S.; Kunze, M.; Scherer, M.
- Non-TUM Co-author(s):
- ja
- Cooperation:
- national
- Title:
- 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).
- 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
BibTeX
Occurrences:
- mediaTUM GesamtbestandEinrichtungenSchools TUM School of Computation, Information and TechnologyDepartmentsMathematicsLehrstuhl für Finanzmathematik (Prof. Zagst)Book Sections and ProceedingsScherer, M.