scholarly journals Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate

2008 ◽  
Author(s):  
Péter Dobránszky
Keyword(s):  
Recovery Rate ◽  
Joint Modelling ◽  
Stochastic Recovery Rate

scholarly journals A Note on Credit Insurance

2006 ◽  
Vol 36 (02) ◽  
pp. 347-360 ◽  
Author(s):  
Johannes Leitner
Keyword(s):  
Interest Rate ◽  
Recovery Rate ◽  
Credit Default Swap ◽  
Credit Default ◽  
Premium Calculation ◽  
Linear Ode ◽  
Default Swap ◽  
Stochastic Recovery Rate ◽  
Constant Interest Rate ◽  
Constant Interest

In a simple stationary setting with constant interest rate, we derive pricing formulas for defaultable bonds with stochastic recovery rate using a replication argument. Replication is done by using an insurance contract (i.e. a kind of credit default swap), the price of which is determined by a dynamic premium calculation principle. We consider two cases, a linear one, where pricing amounts to solving an inhomogeneous linear ODE, and a super-linear case where a Riccati ODE has to be solved.

A NOTE ON THE DOUBLE IMPACT ON CVA FOR CDS: WRONG-WAY RISK WITH STOCHASTIC RECOVERY

2013 ◽  
Vol 16 (03) ◽  
pp. 1350013 ◽  
Author(s):  
HUI LI
Keyword(s):  
Negative Correlation ◽  
Recovery Rate ◽  
Gaussian Copula ◽  
Modeling Framework ◽  
Default Time ◽  
Proposed Model ◽  
New Form ◽  
Stochastic Recovery Rate ◽  
The Impact ◽  
Double Impact

Current CVA modeling framework has ignored the impact of stochastic recovery rate. Due to the possible negative correlation between default and recovery rate, stochastic recovery rate could have a doubling effect on wrong-way risk. In the case of a payer CDS, when counterparty defaults, the CDS value could be higher due to default contagion while the recovery rate may also be lower if the economy is in a downturn. Using our recently proposed model of correlated stochastic recovery in the default time Gaussian copula framework, we demonstrate this double impact on wrong-way risk in the CVA calculation for a payer CDS. We also present a new form of Gaussian copula that correlates both default time and recovery rate.

Pricing a defaultable bond with a stochastic recovery rate

2010 ◽  
Vol 10 (1) ◽  
pp. 49-58 ◽  
Author(s):  
Shu-Ling Chiang ◽  
Ming-Shann Tsai
Keyword(s):  
Recovery Rate ◽  
Defaultable Bond ◽  
Stochastic Recovery Rate

scholarly journals A Note on Credit Insurance

2006 ◽  
Vol 36 (2) ◽  
pp. 347-360
Author(s):  
Johannes Leitner
Keyword(s):  
Interest Rate ◽  
Recovery Rate ◽  
Credit Default Swap ◽  
Credit Default ◽  
Premium Calculation ◽  
Linear Ode ◽  
Default Swap ◽  
Stochastic Recovery Rate ◽  
Constant Interest Rate ◽  
Constant Interest

In a simple stationary setting with constant interest rate, we derive pricing formulas for defaultable bonds with stochastic recovery rate using a replication argument. Replication is done by using an insurance contract (i.e. a kind of credit default swap), the price of which is determined by a dynamic premium calculation principle. We consider two cases, a linear one, where pricing amounts to solving an inhomogeneous linear ODE, and a super-linear case where a Riccati ODE has to be solved.

Study on Centrocestus armatus in Korea. II. Recovery rate, growth and development of worms in albino rats

1989 ◽  
Vol 27 (1) ◽  
pp. 47 ◽  
Author(s):  
S J Hong ◽  
H C Woo ◽  
J Y Chai ◽  
S W Chung ◽  
S H Lee ◽  
...  
Keyword(s):  
Recovery Rate ◽  
Growth And Development ◽  
Albino Rats
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