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