Work

Extensions to the Gaussian copula: random recovery and random factor loadings

Year: 2005

Type: article

Abstract: ABSTRACT This paper presents two new models of portfolio default loss that extend the standard Gaussian copula model yet preserve tractability and computational efficiency. In one extension, we randomize recovery rates, explicitly allowing for the empirically well-established effect of inverse correlation between recovery rates and default frequencies.

Source: The Journal of Credit Risk

DOI: 10.21314/jcr.2005.003

Authors: Leif Andersen, Jakob Sidenius

Institution: Bank of America

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1661687749

FWCI: 42.13

Cites:

Cited by: 336

Related to: 10