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Distressed debt prices and recovery rate estimation

Author

Listed:
  • Xin Guo

    ()

  • Robert Jarrow

    ()

  • Haizhi Lin

    ()

Abstract

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Suggested Citation

  • Xin Guo & Robert Jarrow & Haizhi Lin, 2008. "Distressed debt prices and recovery rate estimation," Review of Derivatives Research, Springer, vol. 11(3), pages 171-204, October.
  • Handle: RePEc:kap:revdev:v:11:y:2008:i:3:p:171-204
    DOI: 10.1007/s11147-009-9029-2
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    References listed on IDEAS

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    1. Edward Altman & Andrea Resti & Andrea Sironi, 2004. "Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(2), pages 183-208, July.
    2. Daniel M. Covitz & Song Han, 2004. "An empirical analysis of bond recovery rates: exploring a structural view of default," Finance and Economics Discussion Series 2005-10, Board of Governors of the Federal Reserve System (U.S.).
    3. Arturo Bris & Ivo Welch & Ning Zhu, 2006. "The Costs of Bankruptcy: Chapter 7 Liquidation versus Chapter 11 Reorganization," Journal of Finance, American Finance Association, vol. 61(3), pages 1253-1303, June.
    4. Gurdip Bakshi & Dilip B. Madan & Frank X. Zhang, 2001. "Understanding the role of recovery in default risk models: empirical comparisons and implied recovery rates," Finance and Economics Discussion Series 2001-37, Board of Governors of the Federal Reserve System (U.S.).
    5. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    6. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409 World Scientific Publishing Co. Pte. Ltd..
    7. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    8. Xin Guo & Robert A. Jarrow & Yan Zeng, 2009. "Modeling The Recovery Rate In A Reduced Form Model," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 73-97.
    9. Edward I. Altman & Brooks Brady & Andrea Resti & Andrea Sironi, 2005. "The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2203-2228, November.
    10. Vojislav Maksimovic & Gordon Phillips, 1998. "Asset Efficiency and Reallocation Decisions of Bankrupt Firms," Journal of Finance, American Finance Association, vol. 53(5), pages 1495-1532, October.
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    Citations

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    Cited by:

    1. : Andrea Gamba & : Alexander J. Triantis, 2013. "How Effectively Can Debt Covenants Alleviate Financial Agency Problems?," Working Papers wpn13-08, Warwick Business School, Finance Group.
    2. Luciano Campi & Umut Cetin & Albina Danilova, 2011. "Equilibrium model with default and insider's dynamic information," Working Papers hal-00613216, HAL.
    3. 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.
    4. Jia-Wen Gu & Bo Jiang & Wai-Ki Ching & Harry Zheng, 2016. "On Modeling Economic Default Time: A Reduced-Form Model Approach," Computational Economics, Springer;Society for Computational Economics, vol. 47(2), pages 157-177, February.
    5. Jose Giancarlo Gasha & Andre O Santos & Jorge A Chan-Lau & Carlos I. Medeiros & Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 09/162, International Monetary Fund.

    More about this item

    Keywords

    Recovery rates; Distressed debt; Credit risk; Default time; Bankruptcy time; G13; G33; G34;

    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

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