Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework (Q2323171)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework |
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Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework (English)
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30 August 2019
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credit portfolio model
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\(\text{CreditRisk}^+\)
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sector correlation
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stochastic LGDs
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saddlepoint approximation
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Monte Carlo
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PD-LGD correlation
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