Bond Prices-Implied Default Probability and Principal Recovery Rate Under Un-Recoverable Coupons

Jack W. Xu

MPRA Paper from University Library of Munich, Germany

Abstract: Assuming only bond principal receives recovery at default, it is possible to derive the implied forward curve of both the default probability and the recovery rate from the bond prices of the same corporate issuer if the issuer has at least two bonds outstanding at each maturity with different coupon rates.

Keywords: Default probability; recovery rate; bond valuation (search for similar items in EconPapers)
JEL-codes: C6 G1 (search for similar items in EconPapers)
Date: 2022-04-12
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:112713

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