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The Empirical Relation between Credit Quality, Recovery, and Correlation

Rosch, Daniel; Scheule, Harald - Hong Kong Institute for Monetary Research (HKIMR), … - 2009

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

Persistent link: https://www.econbiz.de/10005064044

The Empirical Relation between Credit Quality, Recovery and Correlation

Rösch, Daniel; Scheule, Harald - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2009

correlation. …

Persistent link: https://www.econbiz.de/10005017843

Wrong-Way Risk – Correlation Coefficient Calibration

Cerny, Jakub - 2015

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 …

Persistent link: https://www.econbiz.de/10013023673

Credit rating impact on CDO evaluation

Rösch, Daniel; Scheule, Harald - In: Global finance journal 19 (2009) 3, pp. 235-251

Persistent link: https://www.econbiz.de/10003837176

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/10009693396

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 … rates ; correlation …

Persistent link: https://www.econbiz.de/10009743064

Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans

Scheule, Harald (Harry) - 2009

Recent studies find a positive correlation between default and loss given default rates of credit portfolios. In …

Persistent link: https://www.econbiz.de/10012719903

Systematic credit risk in securitised mortgage portfolios

Lee, Yongwoong - 2020

This study analyses the level of systematic risk for US mortgage portfolio securitisationsbased on the variation of default rates which cannot be explained by observeddeterministic factors. Systematic risk is decomposed into general systemic risk, ratingclass-specific systematic risk and their...

Persistent link: https://www.econbiz.de/10012856682

Systematic Credit Risk and Pricing for Fixed Income Instruments

Roesch, Daniel - 2018

This paper analyzes the sensitivity to systematic credit risk and pricing in fixed income instruments and compares corporate bonds and asset securitizations. The paper finds cross-sectional variation of systematic credit risk given the same credit rating and a market premium for the systematic...

Persistent link: https://www.econbiz.de/10012927145

Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection

Roesch, Daniel - 2015

This paper offers a joint estimation approach for forecasting probabilities of default and loss rates given default in the presence of selection. The approach accommodates fixed and random risk factors. An empirical analysis identifies bond ratings, borrower characteristics and macroeconomic...

Persistent link: https://www.econbiz.de/10013034788