correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected …’s default and recovery data. The results confirm existence of significantly positive default and recovery rate correlation. We …

(LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it …

The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …