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Recovery Rate in the Event of an Issuer's Insolvency - Empirical Study on Implications for the Pricing of Credit Default Risks

Author

Listed:
  • Stefan Stöckl

    (ICN Business School, CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

Abstract

According to the Jarrow–Turnbull model, coupon bonds are valuated as a portfolio of zero-coupon bonds that, in the event of insolvency, pay a recovery rate at the end of their term. However, when it comes to valuations, the German insolvency law differs in certain respects. To find out whether a model adapted to the German insolvency law will prove to be more empirically robust, an empirical study of 103 corporate bonds was carried out over more than 800 trading days.

Suggested Citation

  • Stefan Stöckl, 2015. "Recovery Rate in the Event of an Issuer's Insolvency - Empirical Study on Implications for the Pricing of Credit Default Risks," Post-Print hal-01507953, HAL.
    • Handle: RePEc:hal:journl:hal-01507953
    DOI: 10.1142/S021909151550023X
    as

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