Structural Recovery of Face Value at Default
European Journal of Operational Research(2020)
摘要
•Several transmission channels of interest rates in structural models of credit risk.•Assumption of Recovery of Face Value helps explaining low duration of junk bonds.•This explains also low credit spread sensitivities to interest rates.•Cashflow-based models with constant drift fail to match empirical evidence.•Findings are robust to parameter uncertainty and stochastic interest rates.
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关键词
Finance,Bond risk management,Duration,Structural endogenous default risk,Recovery forms
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