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 …

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 …

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …

empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation …

correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …

correlation. …

represented by a Gaussian copula with a constant correlation coefficient, the WWR is expressed by this correlation coefficient …. Because the observation of the default time means bankruptcy of the company, the correlation cannot be simply estimated using … available daily Czech Republic government IRS and CDS rates we estimated the correlation using maximum likelihood method …