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Finance / Mathematical finance / Utility / Financial risk / Debt / Risk-neutral measure / Risk / Yield curve / Credit derivative / Financial economics / Economics / Actuarial science


Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates Gurdip Bakshi, Dilip Madan,
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Document Date: 2002-01-14 12:39:27

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File Size: 520,83 KB

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Washington D.C. / /

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Rutgers University / University of New Orleans / College Park / University of Maryland / New York University / /

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marginal utilities / model assessment tools / empirical applications / counterparty buying insurance / /

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New York University / Department of Finance / Robert H. Smith School of Business / Rutgers University / University of New Orleans / Federal Reserve Board / Division of Research and Statistics / University of Maryland / College Park / /

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Richard McLean / Mark Carey / Bob Jarrow / Francis Longsta / Jun Liu / Haluk Unal / Frank Zhang / Matt Pritsker / Chris Telmer / Andrea Buraschi / /

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Governor / RT / /

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Maryland / /

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