Pricing credit derivatives under stochas
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Stephan Höcht; Rudi Zagst
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Article
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2009
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John Wiley and Sons
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English
⚖ 230 KB
## 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