On th edependence between default risk and recovery rates in structural models

We define several concepts of dependence between default risk and recovery risk, in a factor model frame work. These concepts are illustrated and compared from the per-spective of structural models: Merton (1974)'s single horizon and single firm model, multi-factor extensions, possibly under aportfolio approach. Somefirst-passage time models are discussed too: Kou (2002)'s model and some of its extensions, inpar-ticular by adding self-exciting features. We evaluate the different concepts of "de-fault/recovery" dependencie sanalytically when it ispossible,otherwise by simula-tion.