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Default and Recovery Dependencies in a Simple Credit Risk Model

Bade, Benjamin, Rösch, Daniel and Scheule, Harald (2011) Default and Recovery Dependencies in a Simple Credit Risk Model. European Financial Management 17 (1), pp. 120-144.

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Abstract

This paper provides evidence for the relationship between credit quality, recovery rate, and correlation. The paper finds that rating grade, rating shift, and macroeconomic factors provide a highly significant explanation for default risk and recovery risk of US bond issues. The empirical data suggest that default and recovery processes are highly correlated. Therefore, a joint approach is ...

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Item type:Article
Date:2011
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1111/j.1468-036X.2010.00582.xDOI
Keywords:asset value; correlation; credit portfolio; loss given default; Merton model; probability of default; recovery; volatility G20; G28; C51
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:No
Item ID:28311
Owner only: item control page
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