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| Author: | Frühwirth, M. Sögner, L. |
| Title: | The Jarrow/Turnbull default risk model: evidence from the German market |
| Journal: | European Journal of Finance
2006 : FEB, VOL. 12:2, p. 107-135 |
| Index terms: | bonds corporate finance credit defaults Germany risk |
| Language: | eng |
| Abstract: | In this article, the authors estimate the default intensities within the continuous-time Jarrow and Turnbull model. The model is estimated for German bank and corporate bond prices. The results show that a joint implicit estimation of the default intensity and the recovery rate is numerically unstable. |
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