Search Results - subject:"Stochastic Recovery"

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013

Bayesian deviance information criterion (DIC) favors the model with stochastic recovery over constant recovery. We also observe … that for companies with a good rating, implied constant recovery rates do not differ much from stochastic recovery. However …, if a company is very risky, then forward stochastic recovery rates are significantly lower at longer maturities. …

Persistent link: https://www.econbiz.de/10011256955

Rare Disasters and Credit Market Puzzles

Christoffersen, Peter; Du, Du; Elkamhi, Redouane - School of Economics and Management, University of Aarhus - 2013

We embed systematic default, procyclic recovery rates and habit persistance into a model with a slight possibility of a macroeconomic disaster of reasonable magnitude. We derive analytical solutions for defaultable bond prices and show that a single set of structural parameters calibrated to the...

Persistent link: https://www.econbiz.de/10010851248

Estimating implied recovery rates from the term structure of CDS spreads

Jaskowski, Marcin; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724144

The term structure of expected recovery rates

Doshi, Hitesh; Elkamhi, Redouane; Ornthanalai, Chayawat - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2619-2661

Persistent link: https://www.econbiz.de/10012128871

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

McAleer, Michael; Jaskowski, Marcin - Facultad de Ciencias Económicas y Empresariales, … - 2012

Bayesian deviance information criterion (DIC) favors the model with stochastic recovery over constant recovery. We also observe … that for companies with a good rating, implied constant recovery rates do not difier much from stochastic recovery. However …, if a company is very risky, then forward stochastic recovery rates are significantly lower at longer maturities. …

Persistent link: https://www.econbiz.de/10010778686

Estimating implied recovery rates from the term structure of CDS spreads

Jaskowski, Marcin; McAleer, Michael - Institute of Economic Research, Kyoto University - 2012

Persistent link: https://www.econbiz.de/10011255398

Rare disasters, credit, and option market puzzles

Christoffersen, Peter F.; Du, Du; Elkamhi, Redouane - In: Management science : journal of the Institute for … 63 (2017) 5, pp. 1341-1364

Persistent link: https://www.econbiz.de/10011684726

Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process

Yamashita, Satoshi; Yoshiba, Toshinao - Institute for Monetary and Economic Studies, Bank of Japan - 2011

In this study, we derive an analytical solution for expected loss and the higher moment of the discounted loss distribution for a collateralized loan. To ensure nonnegative values for intensity and interest rate, we assume a quadratic Gaussian process for default intensity and discount interest...

Persistent link: https://www.econbiz.de/10009318525

Downturn LGD: A Spot Recovery Approach

Li, Hui - Volkswirtschaftliche Fakultät, … - 2010

Basel II suggests that banks estimate downturn loss given default (DLGD) in capital requirement calculation. There have been studies that focused on the dependence of default rates and loss given defaults through economic cycles. However, the models proposed are still not satisfactory. In this...

Persistent link: https://www.econbiz.de/10008596392

Analytical Solution for Expected Loss of a Collateralized Loan: A Square-root Intensity Process Negatively Correlated with Collateral Value

Yamashita, Satoshi; Yoshiba, Toshinao - Institute for Monetary and Economic Studies, Bank of Japan - 2010

In this study, we derive an explicit solution for the expected loss of a collateralized loan, focusing on the negative correlation between default intensity and collateral value. Three requirements for the default intensity and the collateral value are imposed. First, the default event can...

Persistent link: https://www.econbiz.de/10008471282