Extension of Spot Recovery Model for Gaussian Copula
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References listed on IDEAS
- Li, Hui, 2009. "On Models of Stochastic Recovery for Base Correlation," MPRA Paper 15750, University Library of Munich, Germany.
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- Li, Hui, 2009. "Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery," MPRA Paper 19684, University Library of Munich, Germany.
- Li, Hui, 2010. "Downturn LGD: A Spot Recovery Approach," MPRA Paper 20010, University Library of Munich, Germany.
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KeywordsCDO; Gaussian Copula; Stochastic Recovery; Spot Recovery Model;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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