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Persistent link: https://www.econbiz.de/10011098943
The paper analyzes a two-factor credit risk model allowing to capture default and recovery rate variation, their mutual correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected credit loss. We propose and empirically...
Persistent link: https://www.econbiz.de/10010827794
The bank regulation embodied in the Basel II Accord has opened-up a new era in estimating recovery rates or complementary loss given default in the retail lending credit evaluation process. In this paper we investigate the properties of survival analysis models applied to recovery rates in order...
Persistent link: https://www.econbiz.de/10010756060