Pricing a defaultable bond with a stochastic recovery rate

DOI10.1080/14697680902835725zbMath1198.91079OpenAlexW2117251338MaRDI QIDQ5189714

Ming Shann Tsai, Shu Ling Chiang

Publication date: 11 March 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902835725

zbMATH Keywords

default riskreduced-form modelstochastic recovery rate

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (1)

A collateralized loan’s loss under a quadratic Gaussian default intensity process

Cites Work

• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An equilibrium characterization of the term structure

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