Downturn LGD: A Spot Recovery Approach
Year of publication: |
2010-01-13
|
---|---|
Authors: | Li, Hui |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Basel II | Downturn Loss Given Default | Stochastic Recovery | Spot Recovery | Factor Credit Models | Default Time Copula | Gaussian Copula | Large Homogeneous Pool | Credit VaR | Expected Shortfall |
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