Credit Expected Shortfall with Time Varying Recovery Risk

In this paper we develop a flexible and analytically tractable framework to compute the Credit Expected Shortfall in an explit if form through Kumaraswamy (1980) distribution with both default rate and recovery rate time-varying. The default rate is assumed to follow a square root process, and the recovery rate is modelled based on a Jacobi diffusion. Our result is valid if default time and recovery rate are independent

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Year of publication:	2015
Authors:	Savona, Roberto
Other Persons:	Raudaschl, Mattia (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Kreditrisiko \| Credit risk \| Risikomaß \| Risk measure \| Theorie \| Theory \| Risikomanagement \| Risk management \| Risikoprämie \| Risk premium \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection

Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 28, 2015 erstellt
Other identifiers:	10.2139/ssrn.2682398 [DOI]
Classification:	C22 - Time-Series Models ; G17 - Financial Forecasting ; G21 - Banks; Other Depository Institutions; Mortgages ; G33 - Bankruptcy; Liquidation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013013025