A Multi-Factor Approachfor Systematic Default and Recovery Risk

The following 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..

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Authors:	Rösch, Daniel ; Scheule, Harald
Institutions:	Universität <Regensburg> / Institut für Banken und Finanzierung
Published in:	Institut für Banken und Finanzierung Leibniz Universität Hannover Referierte Einzelaufsätze in Zeitschriften und Sammelbänden Journal of Fixed Income 15 (2), 2005, pp. 63-75
Subject:	Risikomanagement \| risk management \| Konjunktur \| Korrelation \| Default Correlations \| Korrelationsanalyse

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Extent:	32 p. 312,42 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Corporate statistics and corporate cost accounting ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005867438