The paper describes a theoretical approach to determine the downturn LGD for residential mortgages, which is compliant with the regulatory requirement and thus suited to be used for validation, at least as it can give benchmark results. The link between default rates and recovery rates is in...

We address the problem of decomposing the risk of a multi-factor credit portfolio into marginal contributions through a fast analytical approach: it is based on Taylor polynomial expansion of the overall risk and on the subsequent partial derivatives with respect to the single exposures,...

The present paper addresses the problem of decomposing the risk of a multi-factor credit portfolio into marginal contributions through a fast analytical approach. It is based on Taylor polynomial expansion of the overall risk and on the subsequent partial derivatives with respect to the single...