Recovery Risk
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Recovery Risk
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Author : Edward I. Altman
language : en
Publisher: Bloomberg Press
Release Date : 2005-01-01
Recovery Risk written by Edward I. Altman and has been published by Bloomberg Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01-01 with Business & Economics categories.
In this ground-breaking new title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.
Recovery Risk In Credit Default Swap Premia
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Author : Timo Schläfer
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-05-18
Recovery Risk In Credit Default Swap Premia written by Timo Schläfer and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-05-18 with Business & Economics categories.
Timo Schläfer exploits the fact that differently-ranking debt instruments of the same issuer face identical default risk but different default-conditional recovery rates. He shows that this allows isolating recovery risk without any of the rigid assumptions employed by priors and implements his approach using credit default swap data.
Determination And Valuation Of Recovery Risk In Credit Risk Models
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Author : Stephan Höcht
language : en
Publisher:
Release Date : 2009
Determination And Valuation Of Recovery Risk In Credit Risk Models written by Stephan Höcht and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Recovery Risk
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Author : Mauro de Oliveira Jr
language : en
Publisher:
Release Date : 2014
Recovery Risk written by Mauro de Oliveira Jr and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This article proposes a method for measuring the latent risks involved in the recovery process of non-performing loans in financial institutions and/or business firms that deal with collection and recovery processes. To that end, we apply the competing risks model referred to in the literature as the promotion time model. The result achieved is the probability of credit recovery for a portfolio segmented into groups based on the information available. Within the context of competing risks, application of the technique yielded an estimation of the number of latent events that concur to the credit recovery event. With these results in hand, we were able to compare groups of defaulters in terms of risk or susceptibility to the recovery event during the collection process, and thereby determine where collection actions are most efficient. We specify the Poisson distribution for the number of latent causes leading to recovery, and the Weibull distribution for the time up to recovery. To estimate the model's parameters, we use the maximum likelihood method. Finally, the model was applied to a sample of defaulted loans from a financial institution.
Robust Recovery Risk Hedging
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Author : Monika Muller
language : en
Publisher:
Release Date : 2014
Robust Recovery Risk Hedging written by Monika Muller and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Credit derivatives are subject to at least two sources of risk: the default time and the recovery payment. This paper examines the impact of modeling the recovery payment on hedging strategies in a reduced-form model as well as a structural model. We show that all hedging approaches based on a quadratic criterion do only depend on the expected recovery payment at default and not the whole shape of the recovery payment distribution if the underlying hedging instrument (say, a defaultable zero coupon bond) jumps to or reaches a pre-specified value when the credit event occurs. This justifies assuming a emph{certain} recovery rate conditional on default time and interest rate level. Hence, this result allows a simplified modeling of credit risk.
Default And Recovery Risk Dependencies In A Simple Credit Risk Model
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Author : Benjamin Bade
language : en
Publisher:
Release Date : 2013
Default And Recovery Risk Dependencies In A Simple Credit Risk Model written by Benjamin Bade and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper provides evidence for the relationship between credit quality, recovery rate, and correlation. The paper finds that rating grade, rating shift, and macroeconomic factors provide a highly significant explanation for default risk and recovery risk of US bond issues. The empirical data suggest that default and recovery processes are highly correlated. Therefore, a joint approach is required for estimating time-varying default probabilities and recovery rates that are conditional on default. This paper develops and applies such a model.
Recovery Risk In Stock Returns
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Author : Aydin Akgun
language : en
Publisher:
Release Date : 1999
Recovery Risk In Stock Returns written by Aydin Akgun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
A Multi Factor Approach For Systematic Default And Recovery Risk
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Author : Daniel Roesch
language : en
Publisher:
Release Date : 2013
A Multi Factor Approach For Systematic Default And Recovery Risk written by Daniel Roesch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The following article develops a simultaneous multi-factor model for defaults and recoveries. Applying this model, risk parameters can be forecast using systematic and idiosyncratic risk fac-tors and their implied correlations. The theoretical framework is accompanied by an empirical analysis in which a negative correlation between defaults and recoveries over the business cycle is observed. In the study, default and recovery rates are modeled by business cycle indicators and the properties of the economic and regulatory capital given these risk drivers are shown.
Pricing Recovery Risk Via A Partial Information Transform
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Author : Albert Cohen
language : en
Publisher:
Release Date : 2017
Pricing Recovery Risk Via A Partial Information Transform written by Albert Cohen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
In his seminal paper, Wan ...
How To Price Recovery Risk
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Author : Albert Cohen
language : en
Publisher:
Release Date : 2015
How To Price Recovery Risk written by Albert Cohen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We present a method to incorporate stochastic recovery into the classical Merton and Black-Cox models that allows for the separation of the recovery risk premium from the default risk premium. We compute closed-form solutions for zero-coupon bonds, credit spreads and credit default swaps. With some additional complexity, the methodology can also be extended to other credit products, including coupon-bearing bonds.