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Determination and valuation of recovery risk in credit-risk models [Elektronische Ressource] / Stephan Höcht

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Technische Universit at Munc henZentrum MathematikHVB-Stiftungsinstitut fur FinanzmathematikDetermination and Valuation ofRecovery Risk in Credit-Risk ModelsStephan H ochtVollst andiger Abdruck der von der Fakult at fur Mathematik der TechnischenUniversit at Munc hen zur Erlangung des akademischen Grades einesDoktors der Naturwissenschaften (Dr. rer. nat.)genehmigten Dissertation.Vorsitzende: Univ.-Prof. Claudia Czado, Ph.D.Prufer der Dissertation: 1. Dr. Rudi Zagst2. Univ.-Prof. Dr. Rudiger Kiesel(Universit at Duisburg-Essen)3. Prof. Luis A. Seco, Ph.D.(University of Toronto, Kanada)Die Dissertation wurde am 13.07.2009 bei der Technischen Universit at ein-gereicht und durch die Fakult at fur Mathematik am 04.11.2009 angenommen.iiiiiAbstractThis thesis is concerned with the modelling of recovery rates, their behaviour,and the valuation of recovery risk in credit-risk models. In particular, thecharacteristics and determinants of facility-level as well as aggregated recov-ery rates are examined on a unique Pan-European dataset. The empiricalinsights obtained from these investigations combined with stylized facts likethe negative correlation between recovery rates and default rates are em-phasized to derive a consistent model for the valuation of single-name creditderivatives under stochastic recovery.



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Published 01 January 2009
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