The Empirical Relation between Credit Quality, Recovery and Correlation
Year of publication: |
2009-06
|
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Authors: | Rösch, Daniel ; Scheule, Harald |
Institutions: | Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover |
Subject: | Asset Value | Correlation | Credit Portfolio | Loss Given Default | Merton Model | Probability of Default | Recovery | Volatility |
Extent: | application/pdf |
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Series: | Hannover Economic Papers (HEP). - ISSN 0949-9962. |
Type of publication: | Book / Working Paper |
Notes: | 39 pages |
Classification: | G20 - Financial Institutions and Services. General ; G28 - Government Policy and Regulation ; C51 - Model Construction and Estimation |
Source: |
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