Search Results - subject:"Stochastic recovery"

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks 8 (2020) 1, pp. 1-36

This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans can be predicted with certainty, i.e., that...

Persistent link: https://www.econbiz.de/10013200560

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

Persistent link: https://www.econbiz.de/10012203783

The Term Structure of Expected Recovery Rates

Doshi, Hitesh - 2018

There is widespread agreement that corporate debts' recovery rates are time-varying, but empirical work in this area is limited. We show that the joint information from the term structure of senior and subordinate credit default swaps can identify the level and the dynamics of recovery rates. We...

Persistent link: https://www.econbiz.de/10012913714

A general framework for incorporating stochastic recovery in structural models of credit risk

Cohen, Albert; Costanzino, Nick - In: Risks 5 (2017) 4, pp. 1-19

In this work, we introduce a general framework for incorporating stochastic recovery into structural models. The … systematic way to compute corresponding prices with stochastic recovery. The framework also provides a way to analyze correlation …

Persistent link: https://www.econbiz.de/10011996559

A general framework for incorporating stochastic recovery in structural models of credit risk

Cohen, Albert; Costanzino, Nick - In: Risks : open access journal 5 (2017) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011783786

SDEs with uniform distributions : peacocks, conic martingales and mean reverting uniform diffusions

Brigo, Damiano; Jeanblanc, Monique; Vrins, Frédéric - 2016 - This version: December 9, 2016

Persistent link: https://www.econbiz.de/10011894452

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

Jaskowski, Marcin; McAleer, Michael - 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/10010326422

Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

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

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