On the Dependence between Default Risk and Recovery Rates in Structural Models

We define several concepts of dependence between default risk and recovery risk, in a factor model framework. These concepts are illustrated and compared from the perspective of structural models: Merton (1974)‘s single horizon and single firm model, multi-factor extensions, possibly under a portfol...

Full description

Saved in:
Bibliographic details
Main Author: Jean-David Fermanian
Format: Journal Article
Language: English
Place of publication: GENES 01.12.2020
published in: Annals of economics and statistics no. 140; pp. 45 - 82
Data of publication: 20201201
ISSN: 2115-4430
EISSN: 1968-3863
Discipline: Economics
Online Access: available in Bonn?
Database: Database information not found
Database information Databases - DBIS