Gikhman, Ilya - Volkswirtschaftliche Fakultät, … - 2008
In [10] we presented a reduced form of risky bond pricing. At the default date a bond seller fail to continue fulfill … his obligation and the price of the bond sharply drops down. If the face value of the defaulted bond for no-default … scenarios is $1 then the bond price just after default is called its recovery rate (RR). Rating agencies and theoretical models …