TY  - RPRT
AU  - Jaskowski, Marcin
AU  - McAleer, Michael
PY  - 2012
UR  - https://hdl.handle.net/20.500.14352/49131
AB  - Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary...
LA  - eng
KW  - Constant recovery
KW  - Stochastic recovery
KW  - Implied recovery rate
KW  - Term structure
KW  - CDS spreads.
TI  - Estimating Implied Recovery Rates from the Term Structureof CDS Spreads
TY  - technical report
VL  - 2012
ER  -