correlated defaults
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2019 ◽  
Author(s):  
Wai-Ki Ching ◽  
Jiawen Gu ◽  
Harry Zheng

Author(s):  
Cheng-Few Lee ◽  
Hong-Yi Chen ◽  
John Lee
Keyword(s):  

2017 ◽  
Vol 16 (2) ◽  
pp. 87-100
Author(s):  
Jenni Van Dyk ◽  
Jaun Lange ◽  
Gary Van Vuuren

Empirical studies have demonstrated that loan default probabilities (PD) and loss given defaults (LGD) are positively correlated because of a common, business cycle, dependency. Regulatory capital requirements demand that banks use downturn LGD estimates because the correlation between PD and LGD is not captured. Economic capital models are not bound by this constraint. We extend and implement a model which captures the PD and LGD correlation by exploring the link between defaults and recoveries from a systemic point of view. We investigate the impact of correlated defaults and resultant loss rates on a portfolio comprising default-sensitive financial instruments. We demonstrate that the systemic component of recovery risk (driven by macroeconomic conditions) exerts greater influence on loss estimation and fair risk pricing than its standalone component.


2017 ◽  
Vol 13 (5) ◽  
pp. 0-0
Author(s):  
Wai-Ki Ching ◽  
◽  
Jia-Wen Gu ◽  
Harry Zheng ◽  
◽  
...  

2015 ◽  
Vol 23 (2) ◽  
pp. 8-23 ◽  
Author(s):  
Dariusz Gatarek ◽  
Juliusz Jabłecki

2015 ◽  
Vol 18 (3) ◽  
pp. 191-224 ◽  
Author(s):  
Christian Koziol ◽  
Philipp Koziol ◽  
Thomas Schön

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