Distressed debt prices and recovery rate estimation
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 11 (2008)
Issue (Month): 3 (October)
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Web page: http://www.springerlink.com/link.asp?id=102989
Recovery rates; Distressed debt; Credit risk; Default time; Bankruptcy time; G13; G33; G34;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Xin Guo & Robert A. Jarrow & Yan Zeng, 2009. "Modeling The Recovery Rate In A Reduced Form Model," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 19(1), pages 73-97.
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- : Andrea Gamba & : Alexander J. Triantis, 2013. "How Effectively Can Debt Covenants Alleviate Financial Agency Problems?," Working Papers, Warwick Business School, Finance Group wpn13-08, Warwick Business School, Finance Group.
- Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng, 2013. "On Modeling Economic Default Time: A Reduced-Form Model Approach," Papers 1306.6402, arXiv.org.
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- Jose Giancarlo Gasha & Andre Santos & Jorge A. Chan-Lau & Carlos I. Medeiros & Marcos Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 09/162, International Monetary Fund.
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