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ArticleIs recovery risk priced?

Timo SchläFer2013

Article2013

Is recovery risk priced?

Timo SchläFer · Marliese Uhrig‐Homburg

33 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Corporate Insolvency and Governance Stochastic processes and financial applications

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References

1999Modeling Term Structures of Defaultable Bonds 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2001Explaining the Rate Spread on Corporate Bonds 1998On cox processes and credit risky securities 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*

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2021Intertemporal defaulted bond recoveries prediction via machine learning 2018The Term Structure of Expected Recovery Rates

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2010The Economic Role of Jumps and Recovery Rates \nin the Market for Corporate Default Riskarticle · 13 shared references 2010The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreadsarticle · 13 shared references 2018The Term Structure of Expected Recovery Ratesarticle · 13 shared references 2014Separating the Components of Default Risk: A Derivative-Based Approacharticle · 11 shared references 2012Sovereign default risk premia: Evidence from the default swap marketarticle · 11 shared references 2012Default Recovery Rates and Lgd in Credit Risk Modelling and Practicechapter · 11 shared references

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Year2013

Typearticle

Published2013-12-05

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations33

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2013.11.033

openalex_workW3124409333

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