Credit Derivatives Pricing Models: Model, Pricing and Implementation

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Credit Derivatives Pricing Models
Models, Pricing and Implementation

Philipp J. Sch¨onbucher

Credit Derivatives Pricing Models

Wiley Finance Series
Credit Derivatives Pricing Models: Models, Pricing and Implementation
Philipp J. Sch¨onbucher
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rating tree 242–243
rating trigger 39–40, 223, 240–241
stochastic 143–150
recovery contingent payoff 146
recovery modelling
comparison 150–152, 158–159
recovery of par 60–61, 64
recovery of market value 138–141
definition 138
par spreads 155
recovery of par 141–143
par spreads 156
recovery of treasury 133–135
critique 151–155
definition 133
implied intensities 154
par spreads 153
time-dependent 135
recovery rate
and collateral 162
and leverage 162
and rating 162
by seniority 161
correlation 163
expected 161
historical 161–163, 163
implied 159–161
implied by dds 38
parametric 147–149
recovery rate volatili...
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