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," KIER Working Papers 836, Kyoto University, Institute of Economic Research.
- 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.
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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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