Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching
Son-Nan Chen, Pao-Peng Hsu and Kuo-Yuan Liang
| Year of publication: |
2024
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|---|---|
| Authors: | Chen, Son-nan ; Hsu, Pao-Peng ; Liang, Kuo-yuan |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 30.2024, 2, p. 127-143
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| Subject: | a two-factor hazard rate model | credit cycle | Credit-risky bond | regime-switching | stochastic recovery rate | Kreditrisiko | Credit risk | Anleihe | Bond | Theorie | Theory | CAPM | Kreditwürdigkeit | Credit rating | Zinsstruktur | Yield curve | Schätzung | Estimation | Unternehmensanleihe | Corporate bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2023.2193703 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014547348