Details about Matteo Barbagli

Access statistics for papers by Matteo Barbagli.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pba1841

Working Papers

2024

1. The role of CDS spreads in explaining bond recovery rates
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)

2023

2. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   See also Journal Article Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework, Economic Modelling, Elsevier (2023) (2023)

2021

3. Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)

Journal Articles

2023

1. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework
   Economic Modelling, 2023, 125, (C)
   See also Working Paper Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework, LIDAM Reprints LFIN (2023) (2023)