@inproceedings{5889f02ad0cd46789cbfcd8b8ff870d8,
title = "Implied Recovery Rates—Auctions and models",
abstract = "Credit spreads provide information about implied default probabilities and recovery rates. Trying to extract both parameters simultaneously from market data is challenging due to identifiability issues. We review existing default models with stochastic recovery rates and try calibrating them to observed credit spreads. We discuss the mechanisms of credit auctions and compare implied recoveries with realized auction results in the example of Allied Irish Banks (AIB).",
author = "Stephan H{\"o}cht and Matthias Kunze and Matthias Scherer",
note = "Publisher Copyright: {\textcopyright} The Author(s) 2015.; Conference on Risk Management Reloaded, 2013 ; Conference date: 09-09-2013 Through 13-09-2013",
year = "2015",
doi = "10.1007/978-3-319-09114-3\_9",
language = "English",
series = "Springer Proceedings in Mathematics and Statistics",
publisher = "Springer New York LLC",
pages = "147--162",
editor = "Kathrin Glau and Matthias Scherer and Rudi Zagst",
booktitle = "Innovations in Quantitative Risk Management, 2013",
}