Estimating Default and Recovery Rate Correlations
Year of publication: |
2013-04
|
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Authors: | Witzany, Jiri |
Institutions: | Institut ekonomických studií, Univerzita Karlova v Praze |
Subject: | credit risk | Basel II regulation | default rates | recovery rates | correlation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2013/03 28 pages longages |
Classification: | G20 - Financial Institutions and Services. General ; G28 - Government Policy and Regulation ; C51 - Model Construction and Estimation |
Source: |
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Estimating Default and Recovery Rate Correlations
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Estimating Default and Recovery Rate Correlations
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