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- W156619506 abstract "Credit spreads provide information about implied default probabilities and recovery rates. Trying to extract both parameters simultaneously from market data is challenging due to identifiability issues. We review existing default models with stochastic recovery rates and try calibrating them to observed credit spreads. We discuss the mechanisms of credit auctions and compare implied recoveries with realized auction results in the example of Allied Irish Banks (AIB)." @default.
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- W156619506 date "2015-01-01" @default.
- W156619506 modified "2023-10-15" @default.
- W156619506 title "Implied Recovery Rates—Auctions and Models" @default.
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- W156619506 doi "https://doi.org/10.1007/978-3-319-09114-3_9" @default.
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