Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

By Dilip B Madan 5, Gurdip Bakshi, F. Zhang. 2001

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d230cd8f701741ac729238c3b514ce7e971bea43

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Edward I. Altman
2. St'ephane Cr'epey
3. Marek Rutkowski
4. Tomasz R. Bielecki
5. Brooks Brady
6. Andrea Resti
7. Ton Vorst
8. Olivier Renault

In Finance

1. St'ephane Cr'epey
2. Tomasz R. Bielecki
3. Monique Jeanblanc
4. Edward I. Altman
5. Marek Rutkowski
6. Arnaud de Servigny
7. Brooks Brady
8. Andrea Resti

Citations in the corpus

• Arbitrage pricing of defaultable game options with applications to convertible bonds (2008, background): “However, this statistical observation holds under the real-world probability, with no obvious consequences under the market pricing measure [5].”
• The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications (2003, background): “Bakshi, Madan, and Zhang (2001) enhance the reduced-form models presented earlier to allow for a flexible correlation between the risk-free rate, the default probability, and the recovery rate.”
• Modeling and Valuation of Credit Risk (2004, background): “Subsequent generalizations appear in [3], [4], [5], [6], [7], [11], and [37].”
• Pricing Default Swaps: Empirical Evidence (2003, methodology): “Moreover, the results of Bakshi et al. (2001) indicated that a model with a stochastic recovery rate performs equally well as a model with a constant recovery rate.”
• Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, unknown): “3 Other articles that take this approach include Heston (1993), Chen and Scott (1995), Bates (1996), Bakshi and Chen (1997), Bakshi, Cao, and Chen (1997), Chacko and Das (2002), Dumas, Kurshev, and Uppal (2009), and Buraschi, Trojani, and Vedolin (2010), among others.”
• Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004, unknown): “These models include Frye (2000a and 2000b), Jarrow (2001), Hu and Perraudin (2002), Jokivuolle and Peura (2003), Carey and Gordy (2003), Bakshi et al. (2001), Altman, Brady, Resti and Sironi (2001 and 2004), and Acharya, Bharath and Srinivasan (2003).”
• Measuring and Managing Credit Risk (2004, background): “Bakshi, Madan, and Zhang (2001) test empirically what recovery assumptions can be supported by corporate bond price data in a reducedform framework.”