scholarly journals Equity Option Implied Probability of Default and Equity Recovery Rate

2016 ◽  
Author(s):  
Bo Young Chang ◽  
Greg Orosi
Keyword(s):  
Recovery Rate ◽  
Probability Of Default ◽  
Equity Option

scholarly journals Equity Option Implied Probability of Default and Equity Recovery Rate

2016 ◽  
Vol 37 (6) ◽  
pp. 599-613 ◽  
Author(s):  
Bo Young Chang ◽  
Greg Orosi
Keyword(s):  
Recovery Rate ◽  
Probability Of Default ◽  
Equity Option

PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES

2017 ◽  
Vol 20 (04) ◽  
pp. 1750023
Author(s):  
THAMAYANTHI CHELLATHURAI
Keyword(s):  
Probability Density ◽  
Conditional Probability ◽  
Recovery Rate ◽  
Expected Value ◽  
Conditional Probability Density ◽  
Probability Of Default ◽  
Risk Modeling ◽  
Conditional Probability Distribution ◽  
Macroeconomic Factors ◽  
First Order

This paper derives the theoretical underpinnings behind the following observed empirical facts in credit risk modeling: The probability of default, the seniority, the thickness of the tranche, the debt cushion, and macroeconomic factors are the important determinants of the conditional probability density function of the recovery rate given default (RGD) of a firm’s debt and its tranches. In a portfolio of debt securities, the conditional probability density functions of the recovery rate given default of tranches have point probability masses near zero and one, and the expected value of the recovery rate given default increases as the seniority or debt cushion increases. The paper derives other results as well, such as the fact that the conditional probability distribution function associated with any senior tranche dominates that of any junior tranche by first-order. The standard deviation of the recovery rate given default of a senior security need not be greater than that of a junior security. It is proved that the expected value of the recovery rate given default need not increase as the proportional thickness of the tranche increases.

scholarly journals Stock-Flow Consistent Modeling of Default Events Sequence in a Closed Economy

2017 ◽  
pp. 55-65
Author(s):  
Ihor Voloshyn
Keyword(s):  
Numerical Simulation ◽  
Interest Rates ◽  
Recovery Rate ◽  
Balance Sheet ◽  
Probability Of Default ◽  
Closed Economy ◽  
Fire Sales ◽  
Consistent Model ◽  
Stock Flow ◽  
Financial Transactions

By sequentially examining the full chain of events starting from the default of firms through the fire-sale of goods towards the write-offs of bad loans, we develop a new matrix of financial transactions. This matrix is incorporated into the transactions-flows matrix of the closed economy consisting of households, firms, and banks. On the basis of the balance sheet and transactions-flows matrices, this study further constructs a stock-flow consistent model of the closed economy. We also provide the results of a numerical simulation and argue that our model allows studying how such key parameters as the probability of default, the rate of fire-sales (new injected parameter), the recovery rate, and interest rates on loans and deposits affect the performance of banks and firms, observing economic dynamics in time.

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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