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EnglishWe carefully study the transmission mechanisms from default-free rates to corporate bond prices within structural models of endogenous default risk. The transmission critically depends on whether the model is value-based or cashflow-based, on the assumptions made for the drift of the state variable, and on the way the residual value at default is shared among bondholders. The recovery assumption is crucial: Recovery of Face Value, which entails receiving the same share of residual value at default regardless of the remaining maturity, greatly helps explaining the empirical evidence on bond-price sensitivities to interest rates.
Guha, R., Sbuelz, A., Tarelli, A., Structural recovery of face value at default, <<EUROPEAN JOURNAL OF OPERATIONAL RESEARCH>>, 2020; 283 (3): 1148-1171. [doi:10.1016/j.ejor.2019.11.057] [http://hdl.handle.net/10807/144791]
| Autori: | ||
| Titolo: | Structural recovery of face value at default | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.ejor.2019.11.057 | |
| URL: | https://www.sciencedirect.com/science/article/abs/pii/S0377221719309695 | |
| Data di pubblicazione: | 2020 | |
| Abstract: | We carefully study the transmission mechanisms from default-free rates to corporate bond prices within structural models of endogenous default risk. The transmission critically depends on whether the model is value-based or cashflow-based, on the assumptions made for the drift of the state variable, and on the way the residual value at default is shared among bondholders. The recovery assumption is crucial: Recovery of Face Value, which entails receiving the same share of residual value at default regardless of the remaining maturity, greatly helps explaining the empirical evidence on bond-price sensitivities to interest rates. | |
| Lingua: | Inglese | |
| Rivista: | ||
| Citazione: | Guha, R., Sbuelz, A., Tarelli, A., Structural recovery of face value at default, <<EUROPEAN JOURNAL OF OPERATIONAL RESEARCH>>, 2020; 283 (3): 1148-1171. [doi:10.1016/j.ejor.2019.11.057] [http://hdl.handle.net/10807/144791] | |
| Appare nelle tipologie: | Articolo in rivista, Nota a sentenza |
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