Distressed debt prices and recovery rate estimation

DOI10.1007/s11147-009-9029-2zbMath1165.91370OpenAlexW2099656973MaRDI QIDQ1029236

Robert A. Jarrow, Haizhi Lin, Xin Guo

Publication date: 10 July 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9029-2

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

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• Distressed debt prices and recovery rate estimation
• Implied recovery
• MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL
• Credit risk: Modelling, valuation and hedging