VALUATION - Default Parameter Estimation Using Market Prices - A new method for estimating recovery rates and default likelihoods explicitly incorporates equity prices and a liquidity premium.
| Year of publication: |
2001
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|---|---|
| Authors: | Jarrow, Robert |
| Published in: |
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 57.2001, 5, p. 75-92
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