Pelizza, Michela; Schenk-Hoppé, Klaus Reiner - In: Journal of risk and financial management : JRFM 13 (2020) 2/31, pp. 1-14
Our paper forecasts the expected recovery rates of defaulted Italian mortgage loans backed by either residential or … Moody’s, which use geometric Brownian motion to model the price dynamics, paint a rosier picture with higher recovery rates …