Leveraging prices from credit and equity option markets for portfolio risk management

This study presents a firm‐specific methodology for extracting implied default intensities and recovery rates jointly from unit recovery claim prices—backed by out‐of‐the‐money put options—and credit default swap premiums, therefore providing time‐varying and market‐consistent views of credit risk a...

Ausführliche Beschreibung

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Veröffentlicht in:	The journal of futures markets 2024-01, Vol.44 (1), p.122-147
Hauptverfasser:	Bégin, Jean‐François, Boudreault, Mathieu, Thériault, Mathieu
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond markets Corporate bonds Credit risk credit risk management default intensity machine learning Money Premiums Prices Recovery recovery rates Risk management unit recovery claim Volatility
Online-Zugang:	Volltext
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