Recovery Rate in the Event of an Issuer's Insolvency - Empirical Study on Implications for the Pricing of Credit Default Risks in German Corporate Bonds

被引：0

作者：

Friesenegger, Alexander ^{[1
]}

Rathgeber, Andreas W. ^{[2
]}

Stockl, Stefan ^{[3
]}

机构：

[1] Univ Hohenheim, Chair Risk Management & Derivat, Stuttgart, Germany

[2] Univ Augsburg, Inst Mat Resource Management, Fac Math & Nat Sci, Augsburg, Germany

[3] CEREFIGE European Ctr Res Financial Econ & Busine, ICN Business Sch Nancy Metz, Metz, France

来源：

REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES | 2015年 / 18卷 / 04期

关键词：

Insolvency law; Jarrow-Turnbull model; credit default risk; coupon effect; recovery rate; reduction models;

D O I：

10.1142/S021909151550023X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

According to the Jarrow-Turnbull model, coupon bonds are valuated as a portfolio of zero-coupon bonds that, in the event of insolvency, pay a recovery rate at the end of their term. However, when it comes to valuations, the German insolvency law differs in certain respects. To find out whether a model adapted to the German insolvency law will prove to be more empirically robust, an empirical study of 103 corporate bonds was carried out over more than 800 trading days.

引用

页数：34