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  • Search: subject:"Stochastic Recovery"
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Year of publication
Subject
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stochastic recovery 16 Credit risk 10 Kreditrisiko 9 Theorie 8 Theory 8 Stochastic Recovery 7 Stochastischer Prozess 7 Risikoprämie 6 Stochastic process 6 Zinsstruktur 6 term structure 6 CDO 5 CDS spreads 5 Constant recovery 5 Kreditderivat 5 Risk premium 5 Yield curve 5 credit risk 5 Credit derivative 4 Gaussian Copula 4 Risikomanagement 4 Risk management 4 implied recovery rate 4 CDS 3 Correlation 3 Stochastic recovery 3 Bayes-Statistik 2 CVA 2 Counterparty credit risk 2 Credit Default Swaps (CDS) 2 Default Time Copula 2 Insolvency 2 Insolvenz 2 Korrelation 2 No-Arbitrage 2 Option pricing theory 2 Optionspreistheorie 2 PD-LGD correlation 2 Portfolio selection 2 Portfolio-Management 2
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Online availability
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Free 20 Undetermined 10 CC license 1
Type of publication
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Book / Working Paper 16 Article 15
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Working Paper 3 Arbeitspapier 2 Article 2 Graue Literatur 2 Non-commercial literature 2
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Language
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Undetermined 16 English 15
Author
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Jaskowski, Marcin 5 Li, Hui 5 McAleer, Michael 5 Elkamhi, Redouane 4 Cohen, Albert 3 Costanzino, Nick 3 Doshi, Hitesh 2 Du, Du 2 Metzler, Adam 2 Ornthanalai, Chayawat 2 Scott, Alexandre 2 Yamashita, Satoshi 2 Yoshiba, Toshinao 2 Bennani, Norddine 1 Bertagna, Andrea 1 Brigo, Damiano 1 Chen, Son-nan 1 Chiang, Shu-Ling 1 Christoffersen, Peter 1 Christoffersen, Peter F. 1 Deliu, Dragos 1 Guglielmo D’Amico 1 Hsu, Pao-Peng 1 Höcht, Stephan 1 Janssen, Jacques 1 Jeanblanc, Monique 1 LI, HUI 1 Leitner, Johannes 1 Li, Yadong 1 Liang, Kuo-yuan 1 Lopez, Luca 1 Maetz, Jerome 1 Manca, Raimondo 1 Nassigh, Aldo 1 Pioppi, Michele 1 Reffel, Fabian 1 Schaller, Peter 1 Schulze, Robert 1 Tsai, Ming-Shann 1 Vrins, Frédéric 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 6 Institute for Monetary and Economic Studies, Bank of Japan 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Institute of Economic Research, Kyoto University 1 School of Economics and Management, University of Aarhus 1 Tinbergen Instituut 1
Published in...
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MPRA Paper 6 IMES Discussion Paper Series 2 Risks 2 Risks : open access journal 2 Annals of Finance 1 CORE discussion papers : DP 1 CREATES Research Papers 1 Computational Economics 1 Discussion paper / Tinbergen Institute 1 Documentos de Trabajo del ICAE 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Journal of financial and quantitative analysis : JFQA 1 Journal of risk 1 KIER Working Papers 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 Quantitative Finance 1 Review of Derivatives Research 1 The European journal of finance 1 The journal of credit risk : published quarterly by Incisive Media 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1
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Source
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RePEc 17 ECONIS (ZBW) 11 EconStor 3
Showing 21 - 30 of 31
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On Models of Stochastic Recovery for Base Correlation
Li, Hui - Volkswirtschaftliche Fakultät, … - 2009
This paper discusses various ways to add correlated stochastic recovery to the base correlation framework for pricing …
Persistent link: https://www.econbiz.de/10005079299
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A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Li, Yadong - Volkswirtschaftliche Fakultät, … - 2009
stochastic recovery specification. In this modelling framework, only the joint distributions of default indicators are determined …
Persistent link: https://www.econbiz.de/10005668423
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A Spot Stochastic Recovery Extension of the Gaussian Copula
Bennani, Norddine; Maetz, Jerome - Volkswirtschaftliche Fakultät, … - 2009
stochastic recovery modelling. This paper presents an extension to the standard Gaussian copula framework that introduces a … consistent modelling of stochastic recovery. We choose to model directly the spot recovery, which allows to preserve time …
Persistent link: https://www.econbiz.de/10008476375
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Extension of Spot Recovery Model for Gaussian Copula
Li, Hui - Volkswirtschaftliche Fakultät, … - 2009
important focus has been on the modeling of stochastic recovery. Different approaches within the Gaussian Copula framework have …
Persistent link: https://www.econbiz.de/10008518104
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Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery
Li, Hui - Volkswirtschaftliche Fakultät, … - 2009
Current CVA modeling framework has ignored the impact of stochastic recovery rate. Due to the possible negative … correlation between default and recovery rate, stochastic recovery rate could have a doubling effect on wrong-way risk. In the … rate may also be lower if the economy is in a downturn. Using our recently proposed model of correlated stochastic recovery …
Persistent link: https://www.econbiz.de/10008623471
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A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY
LI, HUI - In: International Journal of Theoretical and Applied … 16 (2013) 03, pp. 1350013-1
Current CVA modeling framework has ignored the impact of stochastic recovery rate. Due to the possible negative … correlation between default and recovery rate, stochastic recovery rate could have a doubling effect on wrong-way risk. In the … rate may also be lower if the economy is in a downturn. Using our recently proposed model of correlated stochastic recovery …
Persistent link: https://www.econbiz.de/10010661001
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A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10009756066
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Pricing a defaultable bond with a stochastic recovery rate
Chiang, Shu-Ling; Tsai, Ming-Shann - In: Quantitative Finance 10 (2010) 1, pp. 49-58
A closed-form formula for the analysis of defaultable bonds is essential for market practitioners and financial researchers. In order to make the model more reasonable without loss of generality, it is necessary to specify the stochastic processes of the default-free short interest rate, the...
Persistent link: https://www.econbiz.de/10008609618
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Pricing distressed CDOs with stochastic recovery
Höcht, Stephan; Zagst, Rudi - In: Review of Derivatives Research 13 (2010) 3, pp. 219-244
Persistent link: https://www.econbiz.de/10008673721
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Fair (intra-bank transfer) prices for credits with stochastic recovery
Leitner, Johannes - In: Annals of Finance 4 (2008) 2, pp. 243-253
Persistent link: https://www.econbiz.de/10005808855
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