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Unexpected Recovery Risk and LGD Discount Rate Determination
Credit risk Discount rate Loss given default Recovery rate Regulatory capital
2016/1/26
The Basle II parameter called Loss Given Default (LGD) aims to estimate the expected losses on not yet defaulted accounts in the case of default. Banks firstly need to collect historical recovery data...
The Political Economy of Discretionary Spending: Evidence from the American Recovery and Reinvestment Act
Political Economy American Recovery
2015/9/21
We study the spatial allocation of expenditures in the American
Recovery and Reinvestment Act (ARRA), one of the largest discretionary
funding bills in the history of the United States. Contrary
to...
Effect of New Zealand blueberry consumption on recovery from eccentric exercise-induced muscle damage
New Zealand muscle damage
2015/7/23
Exercise-induced muscle damage (EIMD) is accompanied by localized oxidative stress / inflammation
which, in the short-term at least, is associated with impaired muscular performance. Dietary antioxid...
A CB (corporate bond) pricing probabilities and recovery rates model for deriving default probabilities and recovery rates
Government Bond (GB) model Corporate Bond (CB) model Term Structure of Default Probabilities (TSDP) Recovery Rate (RR) Credit Default Swap (CDS) business portfolio, credit risk management
2012/9/14
In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recov-ery rate (RR) for each pair of industry factor and credit r...
Calibration of structural and reduced-form recovery models
Credit risk Loss distribution Reduced–form models Structural models Value at Risk Expected Tail Loss Stochastic processes
2011/3/23
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant.
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula
2010/10/19
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models ...
Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
Recovery Rates investment-grade pools credit assets
2010/10/20
We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we study the structure...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula Stochastic Recovery Bottom-up Top-down
2010/4/28
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models t...
Recovery Swaps
Recovery Swaps recovery value
2010/10/18
We derive an arbitrage free relationship between recovery swap rates, digital default swap spreads and conventional CDS spreads, and argue that the fair forward recovery rate used in recovery swaps mu...
The Financial Crisis: Charting a Global Recovery
The Financial Crisis Global Recovery Global Recession
2009/6/23
New World Bank analysis of the global economy paints an unprecedented picture: global output falling by 2.9 percent and world trade by nearly 10 percent; accompanied by plummeting private capital flow...
The universal shape of economic recession and recovery after a shock
economic recession recovery
2010/12/13
We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during times of re...