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A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
Government Bond (GB) model Corporate Bond (CB) model Term Structure of Default Probabilities (TSDP) Recovery Rate (RR) Credit Default Swap (CDS) business portfolio, credit risk management
2012/9/14
In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recov-ery rate (RR) for each pair of industry factor and credit r...