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A reinforced urn process modeling of recovery rates and recovery times

Dan Cheng and Pasquale Cirillo

Journal of Banking & Finance, 2018, vol. 96, issue C, 1-17

Abstract: Answering a major demand in modern credit risk management, we propose a nonparametric survival approach for the modeling of the recovery rate and the recovery time of a defaulted counterparty, by introducing what we call the Recovery Reinforced Urn Process, a special type of combinatorial stochastic process.

Keywords: Loss-given-default; Recovery rate; Reinforced Urn Process (RUP); Survival analysis; Machine learning; Bayesian methods (search for similar items in EconPapers)
Date: 2018
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