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- W4366815572 abstract "A proposed model is used to account for both the recovery rate and regime-switching uncertainties for pricing credit-risky bonds. A two-factor hazard rate model (TFHRM) is also considered, where the dynamics of both instantaneous forward rates and asset values are modeled using Markov-modulated geometric Brownian motions (MMGBMs). Moreover, a macroeconomic factor is incorporated into the MMGBMs. The model complexity is resolved through the introduction of an endogenous intensity function and a recovery rate under the TFHRM. A semi-closed-form solution for pricing defaultable bonds is derived along with a pricing formula for credit spread. A credit cycle is constructed to reflect changes in industry characteristics and macroeconomic factors. The empirical study demonstrates that the inclusion of a stochastic recovery rate increases the model’s pricing accuracy, and the results indicate a close interaction among business cycles, recovery rates, and credit ratings." @default.
- W4366815572 created "2023-04-25" @default.
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- W4366815572 date "2023-04-24" @default.
- W4366815572 modified "2023-10-18" @default.
- W4366815572 title "Pricing credit-risky bonds using recovery rate uncertainty and macro-regime switching" @default.
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- W4366815572 doi "https://doi.org/10.1080/1351847x.2023.2193703" @default.
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