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Pricing the risk of recovery in default with absolute priority rule violation

Unal, Haluk; Madan, Dilip B.; Güntay, Levent - In: Journal of banking & finance 27 (2003) 6, pp. 1001-1025

Persistent link: https://www.econbiz.de/10001757805

Pricing the risk of recovery in default with APR violation

Unal, Haluk (contributor); Madan, Dilip B. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001685954

Pricing the risks of default

Madan, Dilip B.; Unal, Haluk - In: Review of derivatives research 2 (1998) 2/3, pp. 121-160

Persistent link: https://www.econbiz.de/10001497930

A two-factor hazard-rate-model for pricing risky debt and the term structure of credit spreads

Madan, Dilip B.; Unal, Haluk - 1999

Persistent link: https://www.econbiz.de/10001427315

A simple approach to estimate recovery rates with APR violation from debt spreads

Unal, Haluk (contributor); Madan, Dilip B. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001576030

A two-factor hazard rate model for pricing risky debt and the term structure of credit spreads

Madan, Dilip B.; Unal, Haluk - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 1, pp. 43-65

Persistent link: https://www.econbiz.de/10001492484

Pricing reinsurance contracts on FDIC losses

Madan, Dilip B.; Unal, Haluk - In: Financial markets, institutions & instruments 17 (2008) 3, pp. 225-247

Persistent link: https://www.econbiz.de/10003738791

Pricing the risks of default : a note on Madan and Unal

Grundke, Peter; Riedel, Karl O. - In: Review of derivatives research 7 (2004) 2, pp. 169-173

Persistent link: https://www.econbiz.de/10003154021

Risky debt prices and term-structure of credit spreads

Madan, Dilip; Unal, Haluk - Federal Reserve Bank of Chicago - 1998

Persistent link: https://www.econbiz.de/10010724235

Pricing the Risk of Recovery in Default with APR Violation

Unal, Haluk; Madan, Dilip; Güntay, Levent - Financial Institutions Center, Wharton School of Business - 2001

This paper proposes a simple approach to infer the risk neutral density of recovery rates implied by the prices of the debt securities of a firm. The proposed approach is independent of modeling default arrival rates and allows for the violation of absolute priority rule (APR). The paper...

Persistent link: https://www.econbiz.de/10005794309