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A Multifactor Approach for Systematic Default and Recovery Risk

Rösch, Daniel ; Scheule, Harald


Abstract

Focuses on the role of default probabilities and recovery risk in forecasting loss distributions in relation to credit risk exposures. Procedure for modeling the recovery rate of a defaulted obligor; Empirical analysis based on default and recovery rates published by Moody's rating agency and macroeconomic indices from the Conference Board; Implications of the different models for the economic capital derived from the loss distribution and the regulatory capital proposed by the Basel Committee.


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