The Determinants of Market-Implied Recovery Rates
In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectation can be inferred from the prices of defaultable instruments. I extract market-implied recovery rates from the term structures of credit default swap spreads for a sample of 497 United States (U.S.)...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-05-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/7/2/57 |