Early research on credit-risky assets mostly concentrated on default arrival risk, and only relatively little attention was being paid to other aspects of the subject. This has changed dramatically throughout the last decade or so, and in particular recovery risk has moved in the focus of practitioners and researchers alike. Any endeavor to further enhance the understanding of this topic should therefore not go without a thorough review of prior research.
KeywordsRecovery Rate Term Structure Credit Default Swap Trading Price Implied Probability
Unable to display preview. Download preview PDF.