A multi-factor approach for systematic default and recovery risk
Daniel Roesch and
Harald Scheule
Additional contact information
Daniel Roesch: University of Regensburg
Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney
Abstract:
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 factors 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.
Pages: 13 pages
Date: 2005-01-01
References: Add references at CitEc
Citations: View citations in EconPapers (16)
Published as: Roesch, D. and Scheule, H., 2005, "A multi-factor approach for systematic default and recovery risk", Journal of Fixed Income, 15(2), 63-75.
Downloads: (external link)
http://jfi.iijournals.com/content/15/2/63 (text/html)
Access to full text is restricted to subscribers.
Related works:
Chapter: A Multi-Factor Approach for Systematic Default and Recovery Risk (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:uts:ppaper:2005-1
Access Statistics for this paper
More papers in Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford (duncan.ford@uts.edu.au).