Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis
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- Sosa Navarro, Ramiro, 2005. "Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis," MPRA Paper 11054, University Library of Munich, Germany.
References listed on IDEAS
- 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.
- Yu, Jun, 2005.
"On leverage in a stochastic volatility model,"
Journal of Econometrics,
Elsevier, pages 165-178.
- Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
- Jochen R. Andritzky, 2004. "Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds 2000-2002," Econometric Society 2004 Far Eastern Meetings 500, Econometric Society.
- Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Working Papers 13-2004, Singapore Management University, School of Economics.
- Fons, Jerome S, 1987. " The Default Premium and Corporate Bond Experience," Journal of Finance, American Finance Association, vol. 42(1), pages 81-97, March.
- Jonkhart, Marius J. L., 1979. "On the term structure of interest rates and the risk of default : An analytical approach," Journal of Banking & Finance, Elsevier, vol. 3(3), pages 253-262, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fathi, Abid & Nader, Naifar, 2007. "Price Calibration of basket default swap: Evidence from Japanese market," MPRA Paper 6013, University Library of Munich, Germany.
- Guillard, Michel & Sosa Navarro, Ramiro, 2009. "Fiscal Imbalances, Inflation and Sovereign Default Dynamics," MPRA Paper 24075, University Library of Munich, Germany.
More about this item
- G1 - Financial Economics - - General Financial Markets
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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