Questions tagged [recovery]
The recovery tag has no usage guidance.
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Recovery Rates in CDS valuation
I am pricing CDS calibrating the default probabilities intensities using CDS spreads from Markit.
Those spreads are given with a recovery.
I have two questions regarding the recovery:
In Option, ...
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Credit loss data (discounted)
I am looking into a data provider which provide the credit loss data from different banks - https://globalcreditdata.org/interactive-dashboard/
They also provide ...
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Calculating the cumulative probability of default from recovery rate, yield and coupon rate
I have the following details:
A 10-year U.S.Treasury strip has a yield of 6% and a 10-year zero issued by XYZ Inc, rated A by S&P and Moody's, has 7% (semi-annual compounding). Assuming a recovery ...
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Does bond market trading price has recovery assumption in mind?
We all know fixed income seucirties have default risk which can be generated from CDS market. However, I am curious if the market trading price of a bond (say, $105) imposing any recovery assumption?
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Reproduce CDS Index Default Probability via Tranche [0,100] Probability
The tranche survival probability up to time $t$ between attachment $K_1$ and detachment $K_2$ is defined as
$$Q(t,K_1,K_2) \quad=\quad 1 - \mathbb{E}[L(t,K_1,K_2)]$$
with tranche loss function
$$L(...
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Markit recovery rates : assumed vs real
I often see two different recovery rates in Markit : real recovery rate and assumed recovery rate. What is the difference between them ?
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Estimating Recovery Rates
What are some methods for estimating recovery rates for an entity? For example, say I am trying to find the recovery rate that would be used to price a single name CDS on JPMorgan.
The true ...
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What is the formula for calculating Draw down recovery percentage?
I need the formula to calculate Drawdown recovery percentage showing in this picture.
If you know please share.
Thank you...
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What are the main flaws behind Ross Recovery Theorem?
Stephen Ross’ new paper claims that it is possible to separate risk aversions and historical probabilities if the Stochastic Discount Factor is transition independent using Perron-Frobenius Theorem.
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Obtaining the default probability and recovery rate for each credit rating?
I have the following questions for obtaining the credit rating:
Given that I have cumulative default probability of each credit rating from Global Corporate Average Cumulative Default Rates (1982-...
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Question about Merton model to estimate default probability and recovery rate of the company
I recently come across Merton's model to estimate the default probability and recovery rate of the company. Here is the inputs
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Question about the rationale of applying certain recovery rate by ISDA
According to ISDA standard (also here), the recovery rate for senior unsecured is 40%, that of subordinate is 20%, and emerging markets is 25% (both senior and subordinate).
I wonder the rationale of ...
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Recovery rate in a structured bond
I need to model the recovery rate of a structured bond whose expected cash flows, if the issuer remains solvent, will be very low. For instance, assume that I need to estimate the recovery amount of a ...
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