SURVEY OF THE LITERATURE: Recovery Risk
Sanjiv R. Das
Volume 3, Number 1, First Quarter 2005
I survey a selection of recent working papers on recovery rates, providing a framework for extant research. Simpler versions of models are also presented with a view to aid accessibility and pedagogical presentation. Despite the obvious empirical difficulties encountered with recovery rate data, modeling advances are making possible better quantification and measurement of recovery, and will result in innovative contracts to span this risk.