Search Results - subject:"State-Dependent Recovery Rate"

Copula-based factor model for credit risk analysis

Lu, Meng-Jou; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl - 2015

proposes to incorporate a state-dependent recovery rate into the conditional factor loading, and model them by sharing a unique … state-dependent recovery rate turns out to be the most superior on the default prediction. …

Persistent link: https://www.econbiz.de/10011380692

Copula-based factor model for credit risk analysis

Lu, Meng-Jou; Chen, Cathy Yi-Hsuan; Härdle, Karl Wolfgang - 2015 - This version: August 20, 2015

Persistent link: https://www.econbiz.de/10011313568

Copula-based factor model for credit risk analysis

Lu, Meng-Jou; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - In: Review of quantitative finance and accounting 49 (2017) 4, pp. 949-971

Persistent link: https://www.econbiz.de/10011797579