This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capital structure intact. This produces random recovery rates negatively correlated with the default probability. The approach is implemented on a...

Variable annuities are investment vehicles offered by insurance companies that combine a life insurance policy with long-term financial guarantees. These guarantees expose the insurer to market risks, such as volatility and interest rate risks, which can only be managed with a hedging strategy....

This paper presents a firm-specific methodology for extracting implied default intensities and recovery rates jointly from unit recovery claim prices---backed by out-of-the-money put options---and credit default swap premiums, therefore providing time-varying and market-consistent views of...