Default and Recovery Risk Dependencies in a Simple Credit Risk Model
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- Benjamin Bade & Daniel Rösch & Harald Scheule, 2011. "Default and Recovery Risk Dependencies in a Simple Credit Risk Model," European Financial Management, European Financial Management Association, vol. 17(1), pages 120-144, January.
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More about this item
Keywords
asset value; correlation; credit portfolio; loss given default; Merton model; probability of default; recovery; volatility;All these keywords.
JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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