Xu, Jack W. (2022): Bond Prices-Implied Default Probability and Principal Recovery Rate Under Un-Recoverable Coupons.
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Abstract
Assuming only bond principal receives recovery at default, it is possible to derive the implied forward curve of both the default probability and the recovery rate from the bond prices of the same corporate issuer if the issuer has at least two bonds outstanding at each maturity with different coupon rates.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Bond Prices-Implied Default Probability and Principal Recovery Rate Under Un-Recoverable Coupons |
| Language: | English |
| Keywords: | Default probability, recovery rate, bond valuation |
| Subjects: | C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling G - Financial Economics > G1 - General Financial Markets |
| Item ID: | 112713 |
| Depositing User: | Jack Xu |
| Date Deposited: | 12 Apr 2022 13:55 |
| Last Modified: | 12 Apr 2022 13:55 |
| References: | None |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/112713 |
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