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Estimating Default and Recovery Rate Correlations

Witzany, Jiri - In: Bulletin of the Czech Econometric Society 21 (2014)

-factor credit risk model allowing to capture default and recovery rate variation, their mutual correlation, and dependence on … confirm existence of significantly positive default and recovery rate correlation. We empirically compare the unexpected loss …

Persistent link: https://www.econbiz.de/10011098943

Estimating default and recovery rate correlations

Witzany, Jiří - 2013

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 …

Persistent link: https://www.econbiz.de/10010322186

A Note on the Vasicek’s Model with the Logistic Distribution

Witzany, Jiri - Institut ekonomických studií, Univerzita Karlova v Praze - 2013

The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek’s) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based...

Persistent link: https://www.econbiz.de/10010665473

A note on the Vasicek's model with the logistic distribution

Witzany, Jiří - 2013

The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek's) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based on...

Persistent link: https://www.econbiz.de/10010322294