By means of two different simulation engines, we assess the consequences - for bank risk estimates and their evolution over time - of the correlation existing between default and recovery risk, a proven fact that is often overlooked in credit risk models.
The PD/LGD link: Implications for Credit Risk Modeling
RESTI, ANDREA CESARE;SIRONI, ANDREA
2005
Abstract
By means of two different simulation engines, we assess the consequences - for bank risk estimates and their evolution over time - of the correlation existing between default and recovery risk, a proven fact that is often overlooked in credit risk models.
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