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Questions tagged [recovery]

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2
votes
1answer
292 views

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 ?
0
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0answers
126 views

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 ...
-2
votes
1answer
2k views

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...
11
votes
2answers
2k views

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. ...
2
votes
0answers
407 views

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-...
1
vote
0answers
881 views

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 ...
3
votes
2answers
1k views

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 ...
2
votes
1answer
560 views

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 ...