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13-005/III - Estimating Implied Recovery Rates from the Term Structure of CDS Spreads


  • Authors
    Marcin Jaskowski, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain
  • Publication date
    January 7, 2013
  • Keywords
    Constant recovery, stochastic recovery, implied recovery rate, term structure, CDS spreads
  • JEL
    G13, G17, G33, E43