Dependent default and recovery: MCMC study of downturn LGD credit risk model
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References listed on IDEAS
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
Journal of Financial Intermediation,
Elsevier, vol. 12(3), pages 199-232, July.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
- Jon Frye, 2000. "Depressing recoveries," Emerging Issues, Federal Reserve Bank of Chicago, issue Oct.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-10 (All new papers)
- NEP-BAN-2012-01-10 (Banking)
- NEP-ECM-2012-01-10 (Econometrics)
- NEP-RMG-2012-01-10 (Risk Management)
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