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...
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| 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 1968-3863 |
| EISSN: |
1968-3863 |
| Discipline: | Economics |
| Online Access: | available in Bonn? |
| Database: | Database information not found Database information Databases - DBIS |