Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

2012-12-31

Additional Metadata
Keywords	CDS spread, constant recovery, implied recovery rate, stochastic recovery, term structure
JEL	Determination of Interest Rates; Term Structure of Interest Rates (jel E43), Contingent Pricing; Futures Pricing (jel G13), Financial Forecasting (jel G17), Bankruptcy; Liquidation (jel G33)
Publisher	Tinbergen Institute
Persistent URL	hdl.handle.net/1765/38225
Series	Tinbergen Institute Discussion Paper Series
Journal	Discussion paper / Tinbergen Institute
Organisation	Tinbergen Institute
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Jaskowski, M., & McAleer, M. (2012). Estimating Implied Recovery Rates from the Term Structure of CDS Spreads (No. TI 13-005/III ). Discussion paper / Tinbergen Institute (Vol. 2013, pp. 1–33). Retrieved from http://hdl.handle.net/1765/38225

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