In reduced-form pricing models, it is usual to assume a fixed recovery rate to obtain the probability of default from credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with observed prices. The analysis of the recent debt crisis...

The implied volatility of any stock market can be used in order to measure the future expectations of risk and returns. The purpose of this paper is to measure the levels of risk in the Greek stock market for the brief time interval of 02/02/2015-03/31/2015. The reason of choosing this time...