Random LGD adjustments in the Vasicek credit risk model-Reference-Cited by-同舟云学术

Random LGD adjustments in the Vasicek credit risk model

Published:2020-07-07 Issue:18 Volume:26 Page:1856-1875
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

García-Céspedes Rubén¹,Moreno Manuel²

Affiliation:

1. BBVA, Madrid, Spain

2. Department of Economic Analysis and Finance, University of Castilla-La Mancha, Toledo, Spain

Funder

Junta de Andalucía

Ministerio de Economía y Competitividad

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2020.1789685

Reference31 articles.

1. Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries

2. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*

3. Default and Recovery Risk Dependencies in a Simple Credit Risk Model

4. Basel Committee on Bank Supervision. 2006. “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework – Comprehensive Version.” http://www.bis.org.

5. Loss given default models incorporating macroeconomic variables for credit cards

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