Internal Default Risk Model : Simulation of Default Times And Recovery Rates within the New FRTB Framework

This paper presents a new default risk model for market risk that is consistent with the requirements put forward by the Fundamental Review of the Trading Book. In particular, the model features correlated default times and stochastic recovery rates by exploiting the observed correlation between default frequency and average recoveries in historical data. Besides setting the mathematical background, we present numerical results and impacts of the various model parameters

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Year of publication:	2018
Authors:	Bertagna, Andrea
Other Persons:	Dragos, Deliu (contributor) ; Lopez, Luca (contributor) ; Nassigh, Aldo (contributor) ; Pioppi, Michele (contributor) ; Reffel, Fabian (contributor) ; Schaller, Peter (contributor) ; Schulze, Robert (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Kreditrisiko \| Credit risk \| Simulation \| Insolvenz \| Insolvency \| Theorie \| Theory \| Risikomanagement \| Risk management

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 19, 2018 erstellt
Other identifiers:	10.2139/ssrn.3143731 [DOI]
Classification:	C02 - Mathematical Methods ; C13 - Estimation ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; G18 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012924427