IDEAS home Printed from https://ideas.repec.org/h/spr/oprchp/978-3-642-29210-1_30.html
   My bibliography  Save this book chapter

Reassessing recovery rates – floating recoveries

In: Operations Research Proceedings 2011

Author

Listed:
  • Chris Kenyon

    (Credit Suisse AG)

  • Ralf Werner

    (Hochschule München, Fakultät für Informatik und Mathematik)

Abstract

An important but rather neglected input to the pricing of credit derivatives is the recovery rate. It is a priori not clear how an (expected) recovery rate should be chosen for standard credit derivatives pricing models. The problem is especially acute when quoted prices contradict previous recovery rate assumptions. Therefore, in this paper we consider a dynamic calibration of traditional static CDS models. We start from the usual recalibration and propose heuristics for a market-consistent calibration of the recovery rate. Thus the market-implied recovery rate that is now an output can be used as an input for stochastic recovery rate models.

Suggested Citation

  • Chris Kenyon & Ralf Werner, 2012. "Reassessing recovery rates – floating recoveries," Operations Research Proceedings, in: Diethard Klatte & Hans-Jakob Lüthi & Karl Schmedders (ed.), Operations Research Proceedings 2011, edition 127, pages 185-190, Springer.
    • Handle: RePEc:spr:oprchp:978-3-642-29210-1_30
    DOI: 10.1007/978-3-642-29210-1_30
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:oprchp:978-3-642-29210-1_30. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.