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A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES

✍ Scribed by Erhan Bayraktar; Bo Yang

Book ID: 111043188
Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 369 KB
Volume: 21
Category: Article
ISSN: 0960-1627
DOI: 10.1111/j.1467-9965.2010.00435.x

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## Abstract In this article, a framework for the joint modelling of default and recovery risk is presented. The model accounts for typical characteristics known from empirical studies, e.g. negative correlation between recovery‐rate process and default intensity, as well as between default intensit