scholarly journals Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

2003 ◽  
Author(s):  
Gurdip S. Bakshi ◽  
Dilip B. Madan ◽  
Frank Xiaoling Zhang
Keyword(s):  
Default Risk ◽  
Risk Models ◽  
Recovery Rates

Understanding the Role of Recovery in Default Risk Models : Empirical Comarisons and Implied Recovery Rates

2001 ◽  
Vol 2001 (37) ◽  
pp. 1-37 ◽  
Author(s):  
Gurdip Bakshi ◽  
◽  
Dilip B. Madan ◽  
Frank X. Zhang
Keyword(s):  
Default Risk ◽  
Risk Models ◽  
Recovery Rates

scholarly journals Calibrating the CreditRisk+ Model at Different Time Scales and in Presence of Temporal Autocorrelation †

Mathematics ◽  
2021 ◽  
Vol 9 (14) ◽  
pp. 1679
Author(s):  
Jacopo Giacomelli ◽  
Luca Passalacqua
Keyword(s):  
Time Series ◽  
Default Risk ◽  
Real Life ◽  
Statistical Error ◽  
Real Data ◽  
Sampling Period ◽  
Calibration Procedure ◽  
Industry Standards ◽  
Default Rate

The CreditRisk+ model is one of the industry standards for the valuation of default risk in credit loans portfolios. The calibration of CreditRisk+ requires, inter alia, the specification of the parameters describing the structure of dependence among default events. This work addresses the calibration of these parameters. In particular, we study the dependence of the calibration procedure on the sampling period of the default rate time series, that might be different from the time horizon onto which the model is used for forecasting, as it is often the case in real life applications. The case of autocorrelated time series and the role of the statistical error as a function of the time series period are also discussed. The findings of the proposed calibration technique are illustrated with the support of an application to real data.

Internal Default Risk Model: Simulation of Default Times And Recovery Rates within the New FRTB Framework

2018 ◽  
Author(s):  
Andrea Bertagna ◽  
Deliu Dragos ◽  
Luca Lopez ◽  
Aldo Nassigh ◽  
Michele Pioppi ◽  
...  
Keyword(s):  
Default Risk ◽  
Risk Model ◽  
Model Simulation ◽  
Recovery Rates
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