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A Multifactor Approach for Systematic Default and Recovery Risk

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

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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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Item type:Article
Date:September 2005
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Dewey Decimal Classification:300 Social sciences > 330 Economics
300 Social sciences > 310 General statistics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:8226
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