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A Multi-Factor Approach for Systematic Default and Recovery Risk

Rösch, Daniel and Scheule, Harald (2005) A Multi-Factor Approach for Systematic Default and Recovery Risk. Journal of Fixed Income 15 (2), pp. 63-75.

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Abstract

This article develops a simultaneous multifactor model for defaults and recoveries. Applying this model, risk parameters can be forecast using systematic and idiosyncratic risk factors and their implied correlations. The theoretical framework is accompanied by an empirical analysis in which a negative correlation between defaults and recoveries over the business cycle is observed. In the study, ...

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Item type:Article
Date:2005
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.3905/jfi.2005.591610DOI
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:28322
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