On recovery and intensity's correlation : a new class of credit risk models
There has been increasing support in the empirical literature that both the probability of default (PD) and the loss given default (LGD) are correlated and driven by macroeconomic variables. Paradoxically, there has been very little effort from the theoretical literature to develop credit risk model...
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| Format: | workingPaper |
| Language: | eng |
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2010
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| Online Access: | http://hdl.handle.net/10400.5/1663 |
| Country: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/1663 |