Implied Default Probabilities and Default Recovery Ratios : An Analysis of Argentine Eurobonds 2000 – 2002

@inproceedings{Andritzky2003ImpliedDP,
  title={Implied Default Probabilities and Default Recovery Ratios : An Analysis of Argentine Eurobonds 2000 – 2002},
  author={Jochen R. Andritzky},
  year={2003}
}
  • Jochen R. Andritzky
  • Published 2003
This paper calculates implied recovery rates and implied default probabilities in a risk neutral setting for Argentine US-Dollar Eurobonds during the Argentine crisis from 2000 to 2002. In a model which is related to Jarrow and Turnbull (1995), the hazard rate is modelled as risk neutral probability using the Gumbel probability distribution. The results show that implied probabilities roughly take five levels, allowing to cut the time frame analyzed into five periods. The jumps between the… CONTINUE READING
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