Estimating implied recovery rates from the term structure of CDS spreads
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- Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Foroni, Claudia & Ravazzolo, Francesco & Sadaba, Barbara, 2018.
"Assessing the predictive ability of sovereign default risk on exchange rate returns,"
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Elsevier, vol. 81(C), pages 242-264.
- Claudia Foroni & Francesco Ravazzolo & Barbara Sadaba, 2017. "Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns," Staff Working Papers 17-19, Bank of Canada.
- repec:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500236 is not listed on IDEAS
More about this item
KeywordsConstant recovery; stochastic recovery; implied recovery rate; term structure; CDS spreads.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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