Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

credit sign in to follow this
business sign in to follow this
cycle sign in to follow this
factor sign in to follow this
default sign in to follow this
recovery sign in to follow this
PD sign in to follow this
LGD sign in to follow this
loss sign in to follow this
Categories:

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
A Multi-Factor Approach for Systematic Default and Recovery Risk
Company: Journal of Fixed Income
Company Url: Click here to open
Year Of Publication: 2005
Month Of Publication: September
Pages: 63-75
Download Count: 352
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 1-22-2007
Publisher: Administrator
Summary
The article develops a simultaneous multi-factor model for defaults and recoveries. Applying this model, risk parameters can be forecast using systematic and idiosyncratic risk fac-tors and their implied correlations. The theoretical framework is accompanied by an empirical analysis in which a negative correlation between defaults and recoveries over the business cycle is observed. In the study, default and recovery rates are modeled by business cycle indicators and the properties of the economic and regulatory capital given these risk drivers are shown.
Author(s)
Roesch, Daniel Sign in to follow this author
Scheule, Harald Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile