Abstract

http://ssrn.com/abstract=1327437
 
 

References (40)



 
 

Citations (9)



 


 



Modeling the Recovery Rate in a Reduced Form Model


Xin Guo


University of California, Berkeley

Robert A. Jarrow


Cornell University - Samuel Curtis Johnson Graduate School of Management

Yan Zeng


affiliation not provided to SSRN

2007-08

Mathematical Finance, Vol. 19, Issue 1, pp. 73-97, January 2009

Abstract:     
This paper provides a model for the recovery rate process in a reduced form model. After default, a firm continues to operate, and the recovery rate is determined by the value of the firm's assets relative to its liabilities. The debt recovers a different magnitude depending upon whether or not the firm enters insolvency and bankruptcy. Although this recovery rate process is similar to that used in a structural model, the reduced form approach is maintained by utilizing information reduction in the sense of Guo, Jarrow, and Zeng. Our model is able to provide analytic expressions for a firm's default intensity, bankruptcy intensity, and zero-coupon bond prices both before and after default.

Number of Pages in PDF File: 25


Date posted: January 17, 2009  

Suggested Citation

Guo, Xin and Jarrow, Robert A. and Zeng, Yan, Modeling the Recovery Rate in a Reduced Form Model (2007-08). Mathematical Finance, Vol. 19, Issue 1, pp. 73-97, January 2009. Available at SSRN: http://ssrn.com/abstract=1327437 or http://dx.doi.org/10.1111/j.1467-9965.2008.00358.x

Contact Information

Xin Guo
University of California, Berkeley
310 Barrows Hall
Berkeley, CA 94720
United States
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Department of Finance
Ithaca, NY 14853
United States
607-255-4729 (Phone)
607-254-4590 (Fax)

Yan Zeng
affiliation not provided to SSRN ( email )
Feedback to SSRN


Paper statistics
Abstract Views: 637
Downloads: 3
References:  40
Citations:  9

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 2.468 seconds