A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk

A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk

In this work, we introduce a general framework for incorporating stochastic recovery into structural models. The framework extends the approach to recovery modeling developed in Cohen and Costanzino (2015, 2017) and provides for a systematic way to include different recovery processes into a structu...

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Bibliographic Details
Main Authors: Albert Cohen, Nick Costanzino
Format: Article
Language:English
Published: MDPI AG 2017-12-01
Series:Risks
Subjects:
stochastic recovery
partial information
credit risk
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Online Access:https://www.mdpi.com/2227-9091/5/4/65

Internet

https://www.mdpi.com/2227-9091/5/4/65

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