Estimating implied recovery rates from the term structure of CDS spreads
Year of publication: |
2012-12
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Authors: | Jaskowski, Marcin ; McAleer, Michael |
Institutions: | Institute of Economic Research, Kyoto University |
Subject: | Constant recovery | stochastic recovery | implied recovery rate | term structure | CDS spreads |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 836 31 pages longages |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting ; G33 - Bankruptcy; Liquidation ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
Jaskowski, Marcin, (2013)
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Estimating implied recovery rates from the term structure of CDS spreads
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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
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